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http://archives.univ-biskra.dz/handle/123456789/2256| Title: | A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method |
| Authors: | Fateh Benatia Brahim Brahimi Abdelhakim Necir |
| Keywords: | L-moments Copulas Dependence Concordance measures Semiparametric estimation |
| Issue Date: | 11-Apr-2014 |
| Abstract: | A new semiparametric estimation method for multi-parameters Archimedean copulas based on the L-moments theory is proposed. Consistency and asymptotic normality of the defined estimator are established. Extensive simulation study to compare estimators based on the L-moments, the maximum likelihood and the measures of concordance is carried out. We concluded that this method is quick and does not use the density function and therefore no boundary problems arise.Link http://www.ajol.info/index.php/afst/article/view/72708 |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2256 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method.pdf | 34,04 kB | Adobe PDF | View/Open |
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