Copula representation of bivariateL-moments: a new estimation method for multiparameter two-dimensional copula models

DOI10.1080/02331888.2014.932792zbMATH Open1396.62098arXiv1106.2887OpenAlexW3123589292MaRDI QIDQ5263991FDOQ5263991

B. Brahimi, F. Chebana, A. Necir

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Abstract: Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting. In the present paper, we focus on the two-dimension random vectors to establish a link between the bivariate L-moments (BLM) and the underlying bivariate copula functions. This connection provides a new estimate of dependence parameters of bivariate statistical data. Consistency and asymptotic normality of the proposed estimator are established. Extensive simulation study is carried out to compare estimators based on the BLM, the maximum likelihood, the minimum distance and rank approximate Z-estimation. The obtained results show that, when the sample size increases, BLM-based estimation performs better as far as the bias and computation time are concerned. Moreover, the root mean squared error (RMSE) is quite reasonable and less sensitive in general to outliers than those of the above cited methods. Further, we expect that the BLM method is an easy-to-use tool for the estimation of multiparameter copula models.

Full work available at URL: https://arxiv.org/abs/1106.2887

zbMATH Keywords

dependenceparametric estimationArchimedean copulascopulasFGM copulasmultivariate \(L\)-moments

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Title not available (Why is that?)
• Likelihood inference for Archimedean copulas in high dimensions under known margins
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• An introduction to copulas.
• Adaptive score functions for maximum likelihood ICA
• On the characterization of distributions by their \(L\)-moments
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Semiparametric estimation in copula models
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Efficient Estimation of Semiparametric Multivariate Copula Models
• On some generalized farlie-gumbel-morgenstern distributions-II regression, correlation and further generalizations
• On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables
• Relationships between two extensions of Farlie-Gumbel-Morgenstern distribution
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• How are moments and moments of spacings related to distribution functions?
• Characterization of a Marshall-Olkin type class of distributions
• A semiparametric estimation of copula models based on the method of moments
• A small sample comparison of maximum likelihood, moments and \(L\)-moments methods for the asymmetric exponential power distribution
• A note on minimum distance estimation of copula densities
• Fitting and validation of a bivariate model for large claims

Cited In (2)

• On copula moment: empirical likelihood based estimation method
• Bivariate copulas parameters estimation using the trimmed L-moments method

This page was built for publication: Copula representation of bivariateL-moments: a new estimation method for multiparameter two-dimensional copula models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5263991)