New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics. (English) Zbl 0991.62032
Summary: We consider a generalization of the bivariate Farlie-Gumbel-Morgenstern (FGM) distribution by introducing additional parameters. For the generalized FGM distribution, the admissible range of the association parameter allowing a positive quadrant dependence property is shown. Distributional properties of concomitants for this generalized FGM distribution are studied. Recurrence relations between moments of concomitants are presented.
MSC:
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
| 62G30 | Order statistics; empirical distribution functions |
References:
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