Afrika Statistika

Association measures and estimation of copula parameters

Imane Benelmir and Djamel Meraghni

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We apply the inversion method of estimation, with several combinations of two among the four most popular association measures, to estimate the parameters of copulas in the case of bivariate distributions. We carry out a simulation study with two examples, namely Farlie-Gumbel-Morgenstern and Marshall-Olkin two-parameter copulas to make comparisons between the obtained estimators, with respect to bias and root of the mean squared error.


Nous appliquons la méthode d'inversion, avec plusieurs combinaisons de deux parmi les quatre mesures d'association les plus populaires, pour estimer les paramétres de copules dans le cas de distributions bivariées. Nous réalisons une étude de simulation sur deux exemples, à savoir les copules à deux paramétres de Farlie-Gumbel-Morgenstern et de Marshall-Olkin, pour faire des comparaisons entre les estimateurs, en matière du biais et de la racine de l'erreur quadratique moyenne.

Article information

Afr. Stat., Volume 11, Number 1 (2016), 933-942.

First available in Project Euclid: 12 July 2016

Permanent link to this document

Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62H12: Estimation 62H20: Measures of association (correlation, canonical correlation, etc.) 62F07: Ranking and selection

Assoication measures Copula Dependence Inversion method Sklar's theroem


Benelmir, Imane; Meraghni, Djamel. Association measures and estimation of copula parameters. Afr. Stat. 11 (2016), no. 1, 933--942. doi:10.16929/as/2016.933.84.

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