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Revista Colombiana de Estadística

versão impressa ISSN 0120-1751

Rev.Colomb.Estad. vol.40 no.2 Bogotá jul./dez. 2017

https://doi.org/10.15446/rce.v40n2.59404 

http://dx.doi.org/10.15446/rce.v40n2.59404

Local Dependence in Bivariate Copulae with Beta Marginals

Dependencia local en copulas bivariadas con marginales Beta

EIRINI KOUTOUMANOU1, ANGIE WADE2, MARIO CORTINA-BORJA3

1University College London, Great Ormond Street Institute of Child Health, Population Policy and Practice Programme, London, United Kingdom. Miss. Email: e.koutoumanou@ucl.ac.uk
2University College London, Great Ormond Street Institute of Child Health, Population Policy and Practice Programme, London, United Kingdom. PhD. Email: a.wade@ucl.ac.uk
3University College London, Great Ormond Street Institute of Child Health, Population Policy and Practice Programme, London, United Kingdom. PhD. Email: m.cortina@ucl.ac.uk


Abstract

The local dependence function (LDF) describes changes in the correlation structure of continuous bivariate random variables along their range. Bivariate density functions with Beta marginals can be used to model jointly a wide variety of data with bounded outcomes in the (0,1) range, e.g. proportions. In this paper we obtain expressions for the LDF of bivariate densities constructed using three different copula models (Frank, Gumbel and Joe) with Beta marginal distributions, present examples for each, and discuss an application of these models to analyse data collected in a study of marks obtained on a statistics exam by postgraduate students.

Key words: Association, Beta distribution, Bivariate distribution, Copula, Correlation.


Resumen

La función de dependencia local (FDL) describe cambios en la estructura de la correlación entre dos variables aleatorias continuas sobre su recorrido conjunto. Funciones bivariadas de densidad de probabilidad con densidades marginales Beta pueden utilizarse apar modelar conjuntamente una amplia variedad de variables respuesta acotadas en el intervalo (0, 1), por ejemplo proporciones.
En este artículo obtenemos expresiones para la FDL de densidades bivariadas utilizando tres modelos de cópulas (Frank, Gumbel y Joe) con densidades marginales Beta, presentamos ejemplos para cada una de estas funciones, y discutimos una aplicación de estos modelos al an{a}lisis de datos recolectados en un estudio de calificaciones para un examen de estadística aplicado a estudiantes de postgrado.

Palabras clave: asociación, distribución Beta, cópula, correlación, función de distribución bivariada.


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[Recibido en agosto de 2016. Aceptado en mayo de 2017]

Este artículo se puede citar en LaTeX utilizando la siguiente referencia bibliográfica de BibTeX:

@ARTICLE{RCEv40n2a06,
    AUTHOR  = {Koutoumanou, Eirini and Wade, Angie and Cortina-Borja, Mario},
    TITLE   = {{Local Dependence in Bivariate Copulae with Beta Marginals}},
    JOURNAL = {Revista Colombiana de Estadística},
    YEAR    = {2017},
    volume  = {40},
    number  = {2},
    pages   = {281-296}
}

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