Why Are FGM Copulas Successful? A Simple Explanation
One of the most computationally convenient nonredundant ways to describe the dependence between two variables is by describing the corresponding copula. In many applications, a special class of copulas—known as FGM copulas—turned out to be most successful in describing the dependence between quantit...
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Advances in Fuzzy Systems |
| Online Access: | http://dx.doi.org/10.1155/2018/5872195 |
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| author | Songsak Sriboonchitta Vladik Kreinovich |
| author_facet | Songsak Sriboonchitta Vladik Kreinovich |
| author_sort | Songsak Sriboonchitta |
| collection | DOAJ |
| description | One of the most computationally convenient nonredundant ways to describe the dependence between two variables is by describing the corresponding copula. In many applications, 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. |
| format | Article |
| id | doaj-art-d1847e97dc1843f9b2dad3ea1d0c5005 |
| institution | Kabale University |
| issn | 1687-7101 1687-711X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Advances in Fuzzy Systems |
| spelling | doaj-art-d1847e97dc1843f9b2dad3ea1d0c50052025-02-03T01:30:09ZengWileyAdvances in Fuzzy Systems1687-71011687-711X2018-01-01201810.1155/2018/58721955872195Why Are FGM Copulas Successful? A Simple ExplanationSongsak Sriboonchitta0Vladik Kreinovich1Faculty of Economics, Chiang Mai University, Chiang Mai, ThailandDepartment of Computer Science, University of Texas at El Paso, 500 W. University, El Paso, TX 79968, USAOne of the most computationally convenient nonredundant ways to describe the dependence between two variables is by describing the corresponding copula. In many applications, 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.http://dx.doi.org/10.1155/2018/5872195 |
| spellingShingle | Songsak Sriboonchitta Vladik Kreinovich Why Are FGM Copulas Successful? A Simple Explanation Advances in Fuzzy Systems |
| title | Why Are FGM Copulas Successful? A Simple Explanation |
| title_full | Why Are FGM Copulas Successful? A Simple Explanation |
| title_fullStr | Why Are FGM Copulas Successful? A Simple Explanation |
| title_full_unstemmed | Why Are FGM Copulas Successful? A Simple Explanation |
| title_short | Why Are FGM Copulas Successful? A Simple Explanation |
| title_sort | why are fgm copulas successful a simple explanation |
| url | http://dx.doi.org/10.1155/2018/5872195 |
| work_keys_str_mv | AT songsaksriboonchitta whyarefgmcopulassuccessfulasimpleexplanation AT vladikkreinovich whyarefgmcopulassuccessfulasimpleexplanation |