Archimedean Copula Estimation Parameter with Kendall Distribution Function

In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made. In this paper, we made Kendall Distribution function calculation forAli Mikhail Haq and Joe and in relation that simulation study....

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Bibliographic Details
Published in:Cumhuriyet Science Journal
Main Authors: Ayşe Metın Karakas, Murat Karakas, Mine Dogan
Format: Article
Language:English
Published: Sivas Cumhuriyet Üniversitesi 2017-12-01
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Online Access:https://dergipark.org.tr/en/download/article-file/379006
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Summary:In the literature, up to now, it is common thatfor Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications havebeen made. In this paper, we made Kendall Distribution function calculation forAli Mikhail Haq and Joe and in relation that simulation study. We generateddependent gamma distribution. For dependency between these variables we usedArchimedean copula. In connection with this, we define basic properties ofcopulas and their nonparametric method. In this study, to explain therelationship between the variables, five Archimedean copula families were used;Gumbel, Clayton, Frank Joe and Ali Mikhail Haq. We obtained nonparametricestimation of these copula families parameters and the suitable Archimedeancopula family for this data set.
ISSN:2587-2680