Estimating the Gumbel-Barnett copula parameter of dependence
In this paper, we developed an empirical evaluation of four estimation procedures for the dependence parameter of the Gumbel-Barnett copula obtained from a Gumbel type I distribution. We used the maximum likelihood, moments and Bayesian methods and studied the performance of the estimates, assuming...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | Colombia |
| Institución: | Universidad Nacional de Colombia |
| Repositorio: | Repositorio UN |
| Idioma: | español |
| OAI Identifier: | oai:repositorio.unal.edu.co:unal/66493 |
| Acceso en línea: | https://repositorio.unal.edu.co/handle/unal/66493 http://bdigital.unal.edu.co/67521/ |
| Access Level: | acceso abierto |
| Palabra clave: | 51 Matemáticas / Mathematics 31 Colecciones de estadística general / Statistics bayesiana copula Gumbel Barnett correlación dependencia copula estimación simulación Copula Dependence Correlation Estimation Bayesian Simulation |
| Sumario: | In this paper, we developed an empirical evaluation of four estimation procedures for the dependence parameter of the Gumbel-Barnett copula obtained from a Gumbel type I distribution. We used the maximum likelihood, moments and Bayesian methods and studied the performance of the estimates, assuming three dependence levels and 20 different sample sizes. For each method and scenario, a simulation study was conducted with 1000 runs and the quality of the estimator was evaluated using four different criteria. A Bayesian estimator assuming a Beta(a,b) as prior distribution, showed the best performance regardless the sample size and the dependence structure. |
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