Abstract

We propose a new symmetric extension of the bivariate Farlie-Gumbel-Morgenstern (FGM) copula with given marginals. The main feature of this new extension is the higher dependence level it permits between random variables. It is shown that the range of Spearman’s Rho is $[-.33,\mathrm{ }0.375].$ We use this new extension to estimate reliability in a dependent stress-strength model with an application to the Egyptian finance system.

中文翻译：

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FGM copula 的新扩展在可靠性中的应用

摘要

我们提出了具有给定边际的二元 Farlie-Gumbel-Morgenstern (FGM) copula 的新对称扩展。这个新扩展的主要特点是它允许随机变量之间的更高依赖级别。结果表明，Spearman 的 Rho 范围为$[-.33,\mathrm{ }0.375].$我们使用这个新的扩展来估计依赖压力强度模型的可靠性，并将其应用于埃及金融系统。