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The bivariate $K$-finite normal mixture "blanket" copula

Methodology 2021-06-30 v2 Applications

Abstract

There exist many bivariate parametric copulas to model bivariate data with different dependence features. We propose a new bivariate parametric copula family that cannot only handle various dependence patterns that appear in the existing parametric bivariate copula families, but also provides a more enriched dependence structure. The proposed copula construction exploits finite mixtures of bivariate normal distributions. The mixing operation, the distinct correlation and mean parameters at each mixture component introduce quite a flexible dependence. The new parametric copula is theoretically investigated, compared with a set of classical bivariate parametric copulas and illustrated on two empirical examples from astrophysics and agriculture where some of the variables have peculiar and asymmetric dependence, respectively.

Keywords

Cite

@article{arxiv.1911.12284,
  title  = {The bivariate $K$-finite normal mixture "blanket" copula},
  author = {Aristidis K. Nikoloulopoulos},
  journal= {arXiv preprint arXiv:1911.12284},
  year   = {2021}
}
R2 v1 2026-06-23T12:29:14.765Z