Afrika Statistika

Bivariate Copulas Parameters Estimation using the Trimmed L-moments Method

Amel Chine and Fatah Benatia

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Abstract

The main purpose of this paper is to use the trimmed L-moments method for the introduction of a new estimator of multi-parametric copulas in the case where the mean does not exist. The consistency and asymptotic normality of this estimator is established. An extended simulation study shows the performance of the new estimator is carried

Résumé

Le but principal de ce papier est d'utiliser la méthode des trimmed L-moments pour l'introduction d'un nouvel estimateur des copules multi-paramétriques dans le c as où la moyenne n'existe pas. La consistance et la normalité asymptotique de cet estimateur sont établies. Une étude de simulation étendue, qui montre la performance du nouvel estimateur, est menée

Article information

Source
Afr. Stat., Volume 12, Number 1 (2017), 1185-1197.

Dates
Received: 13 October 2016
Accepted: 8 April 2017
First available in Project Euclid: 22 April 2017

Permanent link to this document
https://projecteuclid.org/euclid.as/1492826421

Digital Object Identifier
doi:10.16929/as/2017.1185.99

Mathematical Reviews number (MathSciNet)
MR3638978

Zentralblatt MATH identifier
1362.62067

Subjects
Primary: 62G05: Estimation 62G20: Asymptotic properties

Keywords
Copulas Dependence measure Gumbel copula Trimmed L-moments

Citation

Chine, Amel; Benatia, Fatah. Bivariate Copulas Parameters Estimation using the Trimmed L-moments Method. Afr. Stat. 12 (2017), no. 1, 1185--1197. doi:10.16929/as/2017.1185.99. https://projecteuclid.org/euclid.as/1492826421


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