Why Are FGM Copulas Successful: A Simple Explanation
نویسندگان
چکیده
One of the most computationally convenient non-redundant ways to describe the dependence between two variables is by describing the corresponding copula. In many application, a special class of copulas – known as FGM copulas – turned out to be most successful in describing the dependence between quantities. The main result of this paper is that these copulas are the fastest-to-compute, and this explains their empirical success. As an auxiliary result, we also show that a similar explanation can be given in terms of fuzzy logic.
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