Simulation techniques of Archimedean Copula Estimators: Parametric and Semi-Parametric Approaches
2021 ◽
Vol 2
(3)
◽
pp. 52-60
Keyword(s):
In this paper, we look at two different approaches methodologies for copula estimation. The first is based on a parametric approach using MLE and IFM methods, while the second is entirely based on Kendall's tau and spearman's rho in a semi-parametric context, where the margins are estimated non-parametrically. Interestingly, based on R software simulation techniques, the contribution of their algorithms, approach, and illustration was our main focus for this paper. As an application, a class of Archimedean copulas was notably chosen. This particular class of copulas was also presented for censored data to show the estimator's performance even better.
2015 ◽
Vol 27
(4)
◽
pp. 442-459
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Keyword(s):
2015 ◽
Vol 26
(2)
◽
pp. 388-396
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2007 ◽
Vol 51
(12)
◽
pp. 6307-6320
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Keyword(s):