Probability Distributions and Estimation of Ali-Mikhail-Haq Copula
نویسندگان
چکیده
Abstract The Pearson product-moment correlation commonly used as statistical dependence measure was developed assuming normal marginal and addresses only linear dependence. In most applications, the distribution is assumed to be a multivariate normal or lognormal for tractable calculus even if the assumption may not be appropriate. A copula based approach couples marginal distributions to form flexible multivariate distribution functions. The appeal of copula approach lies in the fact that it eliminates the implied reliance on the multivariate normal or the assumption that dimensions are independent. We present Ali-MikhailHaq (AMH) copula and its statistical properties to show that AMH copula could be extensively used in data analysis.
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