Plug-in Estimation of Dependence Characteristics of Archimedean Copula via Bézier Curve
This article introduces measurement of the dependence between variables with a dependence structure defined by Archimedean copulas. The estimation of the dependence measure, such as Kendall’s tau as well as the lower and upper tail dependence, is investigated by using estimation of the Kendall dist...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2023-02-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/390 |