Multivariate Extension of Raftery Copula

Tariq Saali, Mhamed Mesfioui () and Ani Shabri
Additional contact information
Tariq Saali: Departement of Mathematics, Universiti Teknologi Malaysia, Johor Bahru 81310, Malaysia
Mhamed Mesfioui: Département de Mathématiques et D’informatique, Université du Québec à Trois-Rivières, Trois-Rivières, QC G8Z 4M3, Canada
Ani Shabri: Departement of Mathematics, Universiti Teknologi Malaysia, Johor Bahru 81310, Malaysia

Mathematics, 2023, vol. 11, issue 2, 1-15

Abstract: 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.

Keywords: raftery copula; multivariate copula; concordance measures; maximum likelihood (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2227-7390/11/2/414/pdf (application/pdf)
https://www.mdpi.com/2227-7390/11/2/414/ (text/html)

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:gam:jmathe:v:11:y:2023:i:2:p:414-:d:1034086

Access Statistics for this article

Mathematics is currently edited by Ms. Emma He

More articles in Mathematics from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().