A New Family of Archimedean Copula via Trigonometric Generator Function

A New Family of Archimedean Copula via Trigonometric Generator Function

In this paper, new type of Archimedean copula based on cotangent generator function, and dependence characteristics are investigated. Also, the estimation procedure of the dependence parameter is given. A Monte Carlo study is performed to measure the performance of estimators. To demonstrate the goo...

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Bibliographic Details
Published in:Gazi University Journal of Science Vol. 33; no. 3; pp. 806 - 813
Main Author: SUSAM, Selim Orhun
Format: Journal Article
Language:English
Published: Gazi Üniversitesi Yayınları 01-09-2020
Subjects:
Bilim-Teknoloji
Ankara
Türkiye
Kendall's tau
Parameter estimation
Tail dependence
Archimedean copula
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Summary:In this paper, new type of Archimedean copula based on cotangent generator function, and dependence characteristics are investigated. Also, the estimation procedure of the dependence parameter is given. A Monte Carlo study is performed to measure the performance of estimators. To demonstrate the goodness of fit performance of the new family, a real data analysis is performed.
ISSN:2147-1762
2147-1762
DOI:10.35378/gujs.635032