A GLM-based method to estimate a copula's parameter(s)

Amir T. Payandeh Najafabadi; Mohammad R. Farid-Rohani; Marjan Qazvini

A GLM-based method to estimate a copula's parameter(s)

Amir T. Payandeh Najafabadi^*, Mohammad R. Farid-Rohani, Marjan Qazvini

^*Corresponding author for this work

School of Mathematical & Computer Sciences

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

81 Downloads (Pure)

Abstract

This study introduces a new approach to problem of estimating parameter(s) of a given copula. More precisely, using the concept of the generalized linear models (GLM) accompanied with least square method, we introduce an estimation method, say GLM-method. A simulation study has been conducted to provide a comparison among the inversion of Kendal's tau, the inversion of Spearman's rho, the PML, the Copula-quantile regression with (q = 0:25; 0:50; 0:75), and the GLMmethod. Such simulation study shows that the GLM-method is an appropriate method whenever the data distributed according to an elliptical distribution.

Original language	English
Pages (from-to)	321-334
Number of pages	14
Journal	Journal of the Iranian Statistical Society
Volume	12
Issue number	2
Publication status	Published - Oct 2013

Keywords

Copula
Copula-quantile regression
GLM
Parameter estimation

ASJC Scopus subject areas

Statistics and Probability

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title = "A GLM-based method to estimate a copula's parameter(s)",

abstract = "This study introduces a new approach to problem of estimating parameter(s) of a given copula. More precisely, using the concept of the generalized linear models (GLM) accompanied with least square method, we introduce an estimation method, say GLM-method. A simulation study has been conducted to provide a comparison among the inversion of Kendal's tau, the inversion of Spearman's rho, the PML, the Copula-quantile regression with (q = 0:25; 0:50; 0:75), and the GLMmethod. Such simulation study shows that the GLM-method is an appropriate method whenever the data distributed according to an elliptical distribution.",

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AU - Najafabadi, Amir T. Payandeh

AU - Farid-Rohani, Mohammad R.

AU - Qazvini, Marjan

PY - 2013/10

Y1 - 2013/10

N2 - This study introduces a new approach to problem of estimating parameter(s) of a given copula. More precisely, using the concept of the generalized linear models (GLM) accompanied with least square method, we introduce an estimation method, say GLM-method. A simulation study has been conducted to provide a comparison among the inversion of Kendal's tau, the inversion of Spearman's rho, the PML, the Copula-quantile regression with (q = 0:25; 0:50; 0:75), and the GLMmethod. Such simulation study shows that the GLM-method is an appropriate method whenever the data distributed according to an elliptical distribution.

AB - This study introduces a new approach to problem of estimating parameter(s) of a given copula. More precisely, using the concept of the generalized linear models (GLM) accompanied with least square method, we introduce an estimation method, say GLM-method. A simulation study has been conducted to provide a comparison among the inversion of Kendal's tau, the inversion of Spearman's rho, the PML, the Copula-quantile regression with (q = 0:25; 0:50; 0:75), and the GLMmethod. Such simulation study shows that the GLM-method is an appropriate method whenever the data distributed according to an elliptical distribution.

KW - Copula

KW - Copula-quantile regression

KW - GLM

KW - Parameter estimation

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SN - 1726-4057

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EP - 334

JO - Journal of the Iranian Statistical Society

JF - Journal of the Iranian Statistical Society

IS - 2

ER -

A GLM-based method to estimate a copula's parameter(s)

Abstract

Keywords

ASJC Scopus subject areas

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