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A bivariate extension of the beta generated distribution derived from copulas

Author

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  • Ranadeera G. M. Samanthi
  • Jungsywan Sepanski

Abstract

In this paper, we introduce a new class of bivariate distributions whose marginals are beta-generated distributions. Copulas are employed to construct this bivariate extension of the beta-generated distributions. It is shown that when Archimedean copulas and convex beta generators are used in generating bivariate distributions, the copulas of the resulting distributions also belong to the Archimedean family. The dependence of the proposed bivariate distributions is examined. Simulation results for beta generators and an application to financial risk management are presented.

Suggested Citation

  • Ranadeera G. M. Samanthi & Jungsywan Sepanski, 2019. "A bivariate extension of the beta generated distribution derived from copulas," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(5), pages 1043-1059, March.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:5:p:1043-1059
    DOI: 10.1080/03610926.2018.1429626
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    Cited by:

    1. Shikhar Tyagi, 2024. "On bivariate Teissier model using Copula: dependence properties, and case studies," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 15(6), pages 2483-2499, June.
    2. Susanne Trick & Constantin A. Rothkopf & Frank Jäkel, 2023. "Parameter estimation for a bivariate beta distribution with arbitrary beta marginals and positive correlation," METRON, Springer;Sapienza Università di Roma, vol. 81(2), pages 163-180, August.
    3. Fadal A.A. Aldhufairi & Jungsywan H. Sepanski, 2020. "New families of bivariate copulas via unit weibull distortion," Journal of Statistical Distributions and Applications, Springer, vol. 7(1), pages 1-20, December.
    4. Fadal Abdullah-A Aldhufairi & Ranadeera G.M. Samanthi & Jungsywan H. Sepanski, 2020. "New Families of Bivariate Copulas via Unit Lomax Distortion," Risks, MDPI, vol. 8(4), pages 1-19, October.

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