2021/02/10 by Shyamal Ghosh, Ghosh, Shyamal, Prajamitra Bhuyan +3
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Multi-Criteria Decision Making #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2102.05386
openalex publication_date 2021/02/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In many practical scenarios, including finance, environmental sciences, system reliability, etc., it is often of interest to study the various notion of negative dependence among the observed variables. A new bivariate copula is proposed for modeling negative dependence between two random variables that complies with most of the popular notions of negative dependence reported in the literature. Specifically, the Spearman's rho and the Kendall's tau for the proposed copula have a simple one-parameter form with negative values in the full range. Some important ordering properties comparing the strength of negative dependence with respect to the parameter involved are considered. Simple examples of the corresponding bivariate distributions with popular marginals are presented. Application of the proposed copula is illustrated using a real data set on air quality in the New York City, USA.