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Communications in Statistics - Theory and Methods Volume 45, 2016 - Issue 18
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Original Articles

Various measures of dependence of a new asymmetric generalized Farlie–Gumbel–Morgenstern copulas

A. K. PathakDepartment of Mathematics, Indian Institute of Technology Bombay, Mumbai, Maharashtra, India
&
P. VellaisamyDepartment of Mathematics, Indian Institute of Technology Bombay, Mumbai, Maharashtra, IndiaCorrespondence[email protected]
Pages 5299-5317 | Received 20 Jun 2013, Accepted 03 Jul 2014, Published online: 11 Jul 2016
 
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ABSTRACT

In this paper, we discuss an asymmetric extension of Farlie–Gumbel–Morgenstern copulas studied by several authors and obtain the range of the parameter. We derive an expression for regression function and the properties of these copulas are studied in detail. Also, explicit expressions for various measures of association are obtained. These measures are numerically compared for some particular parametric values of the copulas.

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