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arXiv · 2607.01558

Lancaster copulas

Angelo Efoevi Koudou·Yves I. Ngounou Bakam·Denys Pommeret
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Abstract

We introduce a new copula class, called Lancaster copulas, built from orthogonal expansions of continuous Lancaster probabilities. We derive infinite-series representations for the copula and its density, study truncation effects, and show in numerical experiments that low-order truncations already provide accurate approximation.

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Angelo Efoevi Koudou, Yves I. Ngounou Bakam, Denys Pommeret. 2026-07-02. Lancaster copulas. https://arxiv.org/abs/2607.01558

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