• Corpus ID: 248986734

Exchangeable FGM copulas

@inproceedings{BlierWong2022ExchangeableFC,
  title={Exchangeable FGM copulas},
  author={Christopher Blier-Wong and H{\'e}l{\`e}ne Cossette and {\'E}tienne Marceau},
  year={2022}
}
Copulas are a powerful tool to model dependence between the components of a random vector. One well-known class of copulas when working in two dimensions is the Farlie-Gumbel-Morgenstern (FGM) copula since their simple analytic shape enables closed-form solutions to many problems in applied probability. However, the classical definition of high-dimensional FGM copula does not enable a straightforward understanding of the effect of the copula parameters on the dependence, nor a geometric… 
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