Multivariate Extension of Raftery Copula
This paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms of order statistics. Several properties of this copula are established. In particular, the multivariate Kendall’s tau and Spearman’s rho, as well as the density function, of t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-01-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/2/414 |
| _version_ | 1827623353749340160 |
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| author | Tariq Saali Mhamed Mesfioui Ani Shabri |
| author_facet | Tariq Saali Mhamed Mesfioui Ani Shabri |
| author_sort | Tariq Saali |
| collection | DOAJ |
| description | This paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms of order statistics. Several properties of this copula are established. In particular, the multivariate Kendall’s tau and Spearman’s rho, as well as the density function, of the suggested copula are derived. The lower and upper tail dependence of the proposed copula are also established. The dependence parameter estimator of this new copula is examined based on the maximum likelihood procedure. A simulation study shows a satisfactory performance of the presented estimator. Finally, the proposed copula is successfully applied to a real data set on black cherry trees. |
| first_indexed | 2024-03-09T11:46:34Z |
| format | Article |
| id | doaj.art-778b06f6051d439dab18038110fafaa8 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-09T11:46:34Z |
| publishDate | 2023-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-778b06f6051d439dab18038110fafaa82023-11-30T23:21:52ZengMDPI AGMathematics2227-73902023-01-0111241410.3390/math11020414Multivariate Extension of Raftery CopulaTariq Saali0Mhamed Mesfioui1Ani Shabri2Departement of Mathematics, Universiti Teknologi Malaysia, Johor Bahru 81310, MalaysiaDépartement de Mathématiques et D’informatique, Université du Québec à Trois-Rivières, Trois-Rivières, QC G8Z 4M3, CanadaDepartement of Mathematics, Universiti Teknologi Malaysia, Johor Bahru 81310, MalaysiaThis paper introduces a multivariate extension of Raftery copula. The proposed copula is exchangeable and expressed in terms of order statistics. Several properties of this copula are established. In particular, the multivariate Kendall’s tau and Spearman’s rho, as well as the density function, of the suggested copula are derived. The lower and upper tail dependence of the proposed copula are also established. The dependence parameter estimator of this new copula is examined based on the maximum likelihood procedure. A simulation study shows a satisfactory performance of the presented estimator. Finally, the proposed copula is successfully applied to a real data set on black cherry trees.https://www.mdpi.com/2227-7390/11/2/414raftery copulamultivariate copulaconcordance measuresmaximum likelihood |
| spellingShingle | Tariq Saali Mhamed Mesfioui Ani Shabri Multivariate Extension of Raftery Copula Mathematics raftery copula multivariate copula concordance measures maximum likelihood |
| title | Multivariate Extension of Raftery Copula |
| title_full | Multivariate Extension of Raftery Copula |
| title_fullStr | Multivariate Extension of Raftery Copula |
| title_full_unstemmed | Multivariate Extension of Raftery Copula |
| title_short | Multivariate Extension of Raftery Copula |
| title_sort | multivariate extension of raftery copula |
| topic | raftery copula multivariate copula concordance measures maximum likelihood |
| url | https://www.mdpi.com/2227-7390/11/2/414 |
| work_keys_str_mv | AT tariqsaali multivariateextensionofrafterycopula AT mhamedmesfioui multivariateextensionofrafterycopula AT anishabri multivariateextensionofrafterycopula |