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.
|Number of pages||14|
|Journal||Journal of the Iranian Statistical Society|
|Publication status||Published - Oct 2013|
- Copula-quantile regression
- Parameter estimation
ASJC Scopus subject areas
- Statistics and Probability