Parameter estimation of some Archimedean copulas based on minimum Cramér-von-Mises distance

DOI10.29252/JIRSS.19.1.163MaRDI QIDQ5115527zbMATH OpenOpenAlexFDO

Authors Selim Orhun Susam

Publication date 13 August 2020

Published in Journal of the Iranian Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.29252/jirss.19.1.163

zbMATH Keywords

Bernstein polynomialsArchimedean copulaCramér-von-Mises distanceparameter estimation in the nonparametric setting

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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(10)

• Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
• A weighted independence test based on smooth estimation of Kendall distribution
• A revisit of the modified Celebioglu-Cuadras copula
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• Some new developments on variable-power copulas
• A multi-parameter generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial
• Diverse copulas through Durante's method. Exploring parametric functions
• Archimedean copula estimation and model selection via \(l_1\)-norm symmetric distribution
• Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications
• scientific article; zbMATH DE number 7712507 (Why is no real title available?)

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