Koutoumanou, E;
Wade, A;
Cortina-Borja, M;
(2017)
Local dependence in bivariate copulae with beta marginals.
Revista Colombiana de Estadistica
, 40
(2)
pp. 281-296.
10.15446/rce.v40n2.59404.
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Abstract
The local dependence function (LDF) describes changes in the correlation structure of continuous bivariate random variables along their range. Bivariate density functions with Beta marginals can be used to model jointly a wide variety of data with bounded outcomes in the (0,1) range, e.g. proportions. In this paper we obtain expressions for the LDF of bivariate densities constructed using three different copula models (Frank, Gumbel and Joe) with Beta marginal distributions, present examples for each, and discuss an application of these models to analyse data collected in a study of marks obtained on a statistics exam by postgraduate students.
| Type: | Article |
|---|---|
| Title: | Local dependence in bivariate copulae with beta marginals |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.15446/rce.v40n2.59404 |
| Publisher version: | http://doi.org/10.15446/rce.v40n2.59404 |
| Language: | English |
| Additional information: | Copyright (c) 2017 Revista Colombiana de Estadística This work is licensed under a Creative Commons Attribution 4.0 International License. |
| Keywords: | Beta distribution; local dependence function; copula; bivariate densities |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Population Health Sciences > UCL GOS Institute of Child Health UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Population Health Sciences > UCL GOS Institute of Child Health > Population, Policy and Practice Dept |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1566858 |
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