Laplace copulas of multifactor gamma distributions are new generalized Farlie-Gumbel-Morgenstern copulas (1611.07242v1)

Abstract: This paper provides bifactor gamma distribution, trivariate gamma distribution and two copula families on [0, 1] n obtained from the Laplace transforms of the multivariate gamma distribution and the multi-factor gamma distribution given by [P ($\theta$)] --$\lambda$ and [P ($\theta$)] --$\lambda$ n i=1 (1 + pi$\theta$i) --($\lambda$ i --$\lambda$) respectively, where P is an affine polynomial with respect to the n variables $\theta$1,. .. , $\theta$n. These copulas are new generalized Farlie-Gumbel-Morgenstern copulas and allow in particular to obtain multivariate gamma distributions for which the cumulative distribution functions and the probability distribution functions are known.