Please use this identifier to cite or link to this item:
http://archives.univ-biskra.dz/handle/123456789/2364| Title: | A semiparametric estimation procedure for multi-parameter Archimedean copulas based on L-moments method |
| Authors: | Fatah Ben Atia |
| Keywords: | L-moments; Copulas, Dependence, Concordance measures; Semipara- metric estimation. |
| Issue Date: | 18-Apr-2014 |
| Abstract: | Abstract: A new semi parametric estimation method for multi-parameters Archimedean cop- ulas 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. This method is quick and does not use the density function and therefore no boundary problems arise. Link : http://pinguim.uma.pt/Investigacao/Ccm/icsaa11/page7/page7.html |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2364 |
| Appears in Collections: | Communications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| A semiparametric estimation procedure for multi-parameter.pdf | 50,42 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.