An estimator for the new bivariate copula
Copula modelling is becoming more popular in modelling dependence multivariate distributions and various copulas have been suggested throughout the literature. In a previous study, we had proposed a new bivariate copula based on Rüschendorf method and had studied some properties of that copula. Ther...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
AIP Publishing
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/57421/1/An%20estimator%20for%20the%20new%20bivariate%20copula.pdf |
| _version_ | 1825931609161859072 |
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| author | Mah, Pauline Jin Wee Shitan, Mahendran |
| author_facet | Mah, Pauline Jin Wee Shitan, Mahendran |
| author_sort | Mah, Pauline Jin Wee |
| collection | UPM |
| description | Copula modelling is becoming more popular in modelling dependence multivariate distributions and various copulas have been suggested throughout the literature. In a previous study, we had proposed a new bivariate copula based on Rüschendorf method and had studied some properties of that copula. Therefore, in this paper, we propose an estimator for the new bivariate copula based on Kendall’s τ. The bias and the asymptotic variance of the estimator are also given in this paper where a simulation study was conducted to verify these results. Hence, we find the proposed estimator based on Kendall’s τ to be a suitable estimator for the new bivariate copula and this study adds on to contribute to the literature of the bivariate copula. |
| first_indexed | 2024-03-06T09:29:20Z |
| format | Conference or Workshop Item |
| id | upm.eprints-57421 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:29:20Z |
| publishDate | 2016 |
| publisher | AIP Publishing |
| record_format | dspace |
| spelling | upm.eprints-574212017-09-27T10:13:19Z http://psasir.upm.edu.my/id/eprint/57421/ An estimator for the new bivariate copula Mah, Pauline Jin Wee Shitan, Mahendran Copula modelling is becoming more popular in modelling dependence multivariate distributions and various copulas have been suggested throughout the literature. In a previous study, we had proposed a new bivariate copula based on Rüschendorf method and had studied some properties of that copula. Therefore, in this paper, we propose an estimator for the new bivariate copula based on Kendall’s τ. The bias and the asymptotic variance of the estimator are also given in this paper where a simulation study was conducted to verify these results. Hence, we find the proposed estimator based on Kendall’s τ to be a suitable estimator for the new bivariate copula and this study adds on to contribute to the literature of the bivariate copula. AIP Publishing 2016 Conference or Workshop Item PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/57421/1/An%20estimator%20for%20the%20new%20bivariate%20copula.pdf Mah, Pauline Jin Wee and Shitan, Mahendran (2016) An estimator for the new bivariate copula. In: 2nd International Conference on Mathematics, Engineering and Industrial Applications 2016 (ICoMEIA 2016), 10-12 Aug. 2016, Songkhla, Thailand. (pp. 1-12). 10.1063/1.4965178 |
| spellingShingle | Mah, Pauline Jin Wee Shitan, Mahendran An estimator for the new bivariate copula |
| title | An estimator for the new bivariate copula |
| title_full | An estimator for the new bivariate copula |
| title_fullStr | An estimator for the new bivariate copula |
| title_full_unstemmed | An estimator for the new bivariate copula |
| title_short | An estimator for the new bivariate copula |
| title_sort | estimator for the new bivariate copula |
| url | http://psasir.upm.edu.my/id/eprint/57421/1/An%20estimator%20for%20the%20new%20bivariate%20copula.pdf |
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