On a general class of gamma based copulas

Abstract

A large family of copulas with gamma components is examined, and interesting submodels are defined and analyzed. Parameter estimation is demonstrated for some of these submodels. A brief discussion of higher-dimensional versions is included.

Keywords

• copula
• gamma components
• bivariate beta
• tail dependence
• likelihood-free estimation
• approximate bayesian computation
• 62h05
• 62e10