Why Are FGM Copulas Successful: A Simple Explanation

Authors

Songsak Sriboonchitta, Chiang Mai UniversityFollow
Vladik Kreinovich, The University of Texas at El PasoFollow

Publication Date

3-2017

Comments

Technical Report: UTEP-CS-17-24d

Abstract

One of the most computationally convenient non-redundant ways to describe the dependence between two variables is by describing the corresponding copula. In many application, a special class of copulas -- known as FGM copulas -- turned out to be most successful in describing the dependence between quantities. The main result of this paper is that these copulas are the fastest-to-compute, and this explains their empirical success.

As an auxiliary result, we also show that a similar explanation can be given in terms of fuzzy logic.