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

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

Research output: Contribution to journalArticle

2 Citations (Scopus)
4 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 languageEnglish
Pages (from-to)321-334
Number of pages14
JournalJournal of the Iranian Statistical Society
Volume12
Issue number2
Publication statusPublished - Oct 2013

Keywords

  • Copula
  • Copula-quantile regression
  • GLM
  • Parameter estimation

ASJC Scopus subject areas

  • Statistics and Probability

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