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A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model
This article is published by Hindawi, 2022 and is also available at https://doi.org/10.1155/2022/1422394
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| Format: | Article |
| Language: | English |
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Hindawi
2024
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| _version_ | 1869483572517142528 |
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| access_status_str | Open Access |
| author | Boateng , M. A. Omari-Sasu, A. Y. Avuglah, R. K. Frempong, Nana Kena |
| author2 | 0000-0002-7138-3526 |
| author_browse | 0000-0002-7138-3526 Avuglah, R. K. Boateng , M. A. Frempong, Nana Kena Omari-Sasu, A. Y. |
| author_facet | 0000-0002-7138-3526 Boateng , M. A. Omari-Sasu, A. Y. Avuglah, R. K. Frempong, Nana Kena |
| author_sort | Boateng , M. A. |
| collection | Thesis |
| description | This article is published by Hindawi, 2022 and is also available at https://doi.org/10.1155/2022/1422394 |
| format | Article |
| id | oai:ir.knust.edu.gh:123456789/15875 |
| institution | KNUST (Ghana) |
| language | English |
| last_indexed | 2026-07-01T04:01:08.053Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from KNUSTSpace — Kwame Nkrumah University of Science & Technology (Ghana) |
| publishDate | 2024 |
| publishDateRange | 2024 |
| publishDateSort | 2024 |
| publisher | Hindawi |
| publisherStr | Hindawi |
| record_format | dspace |
| source_str | KNUSTSpace — Kwame Nkrumah University of Science & Technology (Ghana) |
| spelling | oai:ir.knust.edu.gh:123456789/15875 A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model Boateng , M. A. Omari-Sasu, A. Y. Avuglah, R. K. Frempong, Nana Kena 0000-0002-7138-3526 This article is published by Hindawi, 2022 and is also available at https://doi.org/10.1155/2022/1422394 Knowledge of the dependence between random variables is necessary in the area of risk assessment and evaluation. Some of the existing Archimedean copulas, namely the Clayton and the Gumbel copulas, allow for higher correlations on the extreme left and right, respectively. In this study, we use the idea of convex combinations to build a hybrid Clayton–Gumbel–Frank copula that provides all dependence scenarios from existing Archimedean copulas. (e corresponding density and conditional distribution functions of the derived models for two random variables, as well as an estimator for the proportion parameter associated with the proposed model, are also derived. (e results show that the proposed model is able to show any case of dependence by providing coefficients for the upper tail and lower tail dependence. KNUST 2024-07-26T09:14:06Z 2024-07-26T09:14:06Z 2022 Article Hindawi Journal of Probability and Statistics Volume 2022, Article ID 1422394, 7 page 10.1155/2022/1422394 https://ir.knust.edu.gh/handle/123456789/15875 en application/pdf Hindawi |
| spellingShingle | Boateng , M. A. Omari-Sasu, A. Y. Avuglah, R. K. Frempong, Nana Kena A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model |
| title | A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model |
| title_full | A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model |
| title_fullStr | A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model |
| title_full_unstemmed | A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model |
| title_short | A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model |
| title_sort | mixture of clayton gumbel and frank copulas a complete dependence model |
| url | https://ir.knust.edu.gh/handle/123456789/15875 |
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