The bivariate K-finite normal mixture "blanket" copula: an application to driving patterns

11/27/2019

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by   Aristidis K. Nikoloulopoulos, et al.

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There are many bivariate parametric copulas in the literature to model bivariate data with different dependence features. We propose a new bivariate parametric copula family that cannot only handle various dependence patterns that appear in the existing parametric bivariate copula families, but also provides a more enriched dependence structure. The proposed copula construction exploits finite mixtures of bivariate normal distributions. The mixing operation, the distinct correlation and mean parameters at each mixture component introduce quite a flexible dependence. We apply the new copula to real transportation data that cannot apparently be modelled by any of the existing parametric families of bivariate copulas.