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arXiv · 2206.10126

Copula bounds for circular data

Hiroaki Ogata
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Abstract

We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates the perfect positive (negative) dependence between two random variables. However, for circular random variables, the usual concept of dependency is not accepted because of their periodicity. In this work, we redefine Fr\'{e}chet-Hoeffding bounds and consider modified Fr\'{e}chet and Mardia families of copulas for modelling the dependency of two circular random variables. Simulation studies are also given to demonstrate the behavior of the model.

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Hiroaki Ogata. 2022-06-21. Copula bounds for circular data. https://doi.org/10.1007/978-981-99-0803-5_16

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