A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model

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dc.contributor.authorBoateng , M. A.
dc.contributor.authorOmari-Sasu, A. Y.
dc.contributor.authorAvuglah, R. K.
dc.contributor.authorFrempong, Nana Kena
dc.contributor.orcid0000-0002-7138-3526
dc.date.accessioned2024-07-26T09:14:06Z
dc.date.available2024-07-26T09:14:06Z
dc.date.issued2022
dc.descriptionThis article is published by Hindawi, 2022 and is also available at https://doi.org/10.1155/2022/1422394
dc.description.abstractKnowledge 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.
dc.description.sponsorshipKNUST
dc.identifier.citationHindawi Journal of Probability and Statistics Volume 2022, Article ID 1422394, 7 page
dc.identifier.uri10.1155/2022/1422394
dc.identifier.urihttps://ir.knust.edu.gh/handle/123456789/15875
dc.language.isoen
dc.publisherHindawi
dc.titleA Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model
dc.typeArticle
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