Finite normal mixture copulas for multivariate discrete data modeling |
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Authors: | Aristidis K Nikoloulopoulos Dimitris Karlis |
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Institution: | aDepartment of Statistics, Athens University of Economics and Business, 76 Patission Street, 10434 Athens, Greece |
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Abstract: | A new family of copulas is introduced that provides flexible dependence structure while being tractable and simple to use for multivariate discrete data modeling. The construction exploits finite mixtures of uncorrelated normal distributions. Accordingly, the cumulative distribution function is simply the product of univariate normal distributions. At the same time, however, the mixing operation introduces association. The properties of the new family of copulas are examined and a concrete application is used to show its applicability. |
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Keywords: | Copula Count data Discrete distribution Finite normal mixture Negative binomial distribution Kendall's tau |
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