Archimedean Copula Estimation Parameter with Kendall Distribution Function
Journal Title: Cumhuriyet Science journal - Year 2017, Vol 38, Issue 4
Abstract
In the literature, up to now, it is common that for Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications have been made. In this paper, we made Kendall Distribution function calculation for Ali Mikhail Haq and Joe and in relation that simulation study. We generated dependent gamma distribution. For dependency between these variables we used Archimedean copula. In connection with this, we define basic properties of copulas and their nonparametric method. In this study, to explain the relationship between the variables, five Archimedean copula families were used; Gumbel, Clayton, Frank Joe and Ali Mikhail Haq. We obtained nonparametric estimation of these copula families parameters and the suitable Archimedean copula family for this data set.
Authors and Affiliations
Ayşe METIN KARAKAS, Murat KARAKAS, Mine DOGAN
Keywords
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