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arXiv · 2401.10824

The trivariate wrapped Cauchy copula

Shogo Kato·Christophe Ley·Sophia Loizidou·Kanti V. Mardia
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Abstract

In this paper, we propose a new flexible distribution for data on the three-dimensional torus which we call a trivariate wrapped Cauchy copula. Our trivariate copula has several attractive properties. It has a simple form of density and desirable modality properties. Its parameters allow for an adjustable degree of dependence between every pair of variables and these can be easily estimated. The conditional distributions of the model are well studied bivariate wrapped Cauchy distributions. Furthermore, the distribution can be easily simulated. Parameter estimation via maximum likelihood for the distribution is given and we highlight the simple implementation procedure to obtain these estimates. We illustrate our trivariate wrapped Cauchy copula on data from protein bioinformatics of conformational angles.

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Shogo Kato, Christophe Ley, Sophia Loizidou, Kanti V. Mardia. 2024-01-19. The trivariate wrapped Cauchy copula. https://arxiv.org/abs/2401.10824

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