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Master's Dissertation
DOI
https://doi.org/10.11606/D.104.2021.tde-05042021-103244
Document
Author
Full name
Átila Prates Correia
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2021
Supervisor
Committee
Suzuki, Adriano Kamimura (President)
Silva, Paulo Henrique Ferreira da
Viola, Márcio Luis Lanfredi
Title in Portuguese
Uma construção de cópulas semi-lineares bivariadas baseada nas famílias AMH, FGM e Plackett
Keywords in Portuguese
Coeficiente ρ de Spearman
Cópulas AMH
Cópulas semi-lineares bivariadas
FGM e Plackett
Abstract in Portuguese
Cópulas são funções de distribuição conjuntas definidas no quadrado unitário cujas marginais são uniformes. Nesse trabalho, apresentamos seis novas famílias de cópulas semilineares baseadas nas cópulas AMH, FGM e Plackett. Mais precisamente, utilizamos as funções diagonais advindas de cada uma destas a fim de propor as novas expressões em questão. Além disso, calculamos os respectivos coeficientes ρ de Spearman das cópulas transformadas, e estudamos o comportamento de cada um deles.
Title in English
A construction of bivariate semilinear copulas based on AMH, FGM and Plackett families
Keywords in English
AMH
FGM and Plackett copulas
Semilinear bivariate copulas
Spearman ρ coefficient
Abstract in English
Copulas are cumulative distribution functions defined on the unit square whose margins are uniform. In the context of the present work, we have provided six new families of semilinear copulas based on the copulas AMH, FGM and Plackett. More precisely, we have applied the diagonal functions related to each of them with the purpose of obtaining the expressions of the new families. Besides that, it has been calculated the respective Spearman ρ coefficient from each transformed copula, whose values have been studied thoroughly.
 
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Publishing Date
2021-04-05
 
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