Simulation techniques of Archimedean Copula Estimators: Parametric and Semi-Parametric Approaches

N. Idiou and F. Benatia
Additional contact information
N. Idiou: Mohamed Khider University, Algeria
F. Benatia: Mohamed Khider University, Algeria

European Journal of Mathematics and Statistics, 2021, vol. 2, issue 3, 52-60

Abstract: In this paper, we look at two different approaches methodologies for copula estimation. The first is based on a parametric approach using MLE and IFM methods, while the second is entirely based on Kendall's tau and spearman's rho in a semi-parametric context, where the margins are estimated non-parametrically. Interestingly, based on R software simulation techniques, the contribution of their algorithms, approach, and illustration was our main focus for this paper. As an application, a class of Archimedean copulas was notably chosen. This particular class of copulas was also presented for censored data to show the estimator's performance even better.

Keywords: Archimedean copula; Parametric estimation; Simulation study; R software; Semi-parametric approaches (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://eu-opensci.org/index.php/ejmath/article/view/14048 Abstract page (text/html)
https://eu-opensci.org/index.php/ejmath/article/download/14048/3134 Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:epw:ejmath:v:2:y:2021:i:3:id:14048

DOI: 10.24018/ejmath.2021.2.3.48

Access Statistics for this article

More articles in European Journal of Mathematics and Statistics from European Open Science
Bibliographic data for series maintained by Support Team ().