Afrika Statistika

Association measures and estimation of copula parameters

Imane Benelmir and Djamel Meraghni

Full-text: Access denied (no subscription detected)

We're sorry, but we are unable to provide you with the full text of this article because we are not able to identify you as a subscriber. If you have a personal subscription to this journal, then please login. If you are already logged in, then you may need to update your profile to register your subscription. Read more about accessing full-text

Abstract

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.

Résumé

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

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

Dates
First available in Project Euclid: 12 July 2016

Permanent link to this document
https://projecteuclid.org/euclid.as/1468344418

Digital Object Identifier
doi:10.16929/as/2016.933.84

Mathematical Reviews number (MathSciNet)
MR3522309

Zentralblatt MATH identifier
1342.62089

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

Keywords
Assoication measures Copula Dependence Inversion method Sklar's theroem

Citation

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. https://projecteuclid.org/euclid.as/1468344418


Export citation