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344515

Three-Dimensional Copulas: A Generalized Convex Mixture Copulas Strategy

Article

Last updated: 05 Jan 2025

Subjects

-

Tags

Applied Mathematics

Abstract

Copulas are multi-dimensional probabilistic functions that play a crucial role in modeling complex dependence structures between random variables. The theory and applications of the three-dimensional case have attracted considerable interest in recent years. This article discusses recent developments in this specific topic and innovates in some aspects. More precisely, the first part proposed to fill certain theoretical gaps concerning a modern copula called the "product Ali-Mikhail-Haq mixed" copula and to complete its knowledge. Among these gaps, the possible values of the involved parameter that make it valid are revisited. The corresponding Spearman rho is also re-calculated. Mathematical proofs and graphic work are given. The second part presents a result on generalized convex mixed copulas and shows how the product Ali-Mikhail-Haq mixed copula can be considered as a specific example. The novelty of this result is that it is general in the dimensional sense and presents simple conditions to guarantee the validity of the resulting copula. Based on it, a new variant of the three-dimensional Ali-Mikhail-Haq copula is given. In summary, for the first time, some existing three-dimensional copulas are analyzed from the point of view of generalized convex mixture copulas in multiple dimensions, thus opening new horizons for dependence modeling.

DOI

10.21608/cjmss.2024.272790.1042

Keywords

Three-dimensional copulas, Ali-Mikhail-Haq copula, Farlie-Gumbel-Morgenstern copula, Dependence modeling

Authors

First Name

Christophe

Last Name

Chesneau

MiddleName

-

Affiliation

Department of Mathematics, LMNO, University of Caen-Normandie, 14032 Caen, France

Email

christophe.chesneau@gmail.com

City

-

Orcid

-

Volume

3

Article Issue

2

Related Issue

47327

Issue Date

2024-11-01

Receive Date

2024-02-26

Publish Date

2024-11-01

Page Start

240

Page End

257

Print ISSN

2974-3435

Online ISSN

2974-3443

Link

https://cjmss.journals.ekb.eg/article_344515.html

Detail API

https://cjmss.journals.ekb.eg/service?article_code=344515

Order

344,515

Type

Original Article

Type Code

2,545

Publication Type

Journal

Publication Title

Computational Journal of Mathematical and Statistical Sciences

Publication Link

https://cjmss.journals.ekb.eg/

MainTitle

Three-Dimensional Copulas: A Generalized Convex Mixture Copulas Strategy

Details

Type

Article

Created At

29 Dec 2024