Archimedean Copula Estimation Parameter with Kendall Distribution Function
Abstract
In the literature, up to now, it is common that
for Gumbel, Clayton and Frank calculated Kendall Distribution function and to the extent those applications have
been made. In this paper, we made Kendall Distribution function calculation for
Ali Mikhail Haq and Joe and in relation that simulation study. We generated
dependent gamma distribution. For dependency between these variables we used
Archimedean copula. In connection with this, we define basic properties of
copulas and their nonparametric method. In this study, to explain the
relationship between the variables, five Archimedean copula families were used;
Gumbel, Clayton, Frank Joe and Ali Mikhail Haq. We obtained nonparametric
estimation of these copula families parameters and the suitable Archimedean
copula family for this data set.
Keywords
Copula Function,Archimedean Copula,Kendall Tau,Kendall Distribution Function
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