THE DEPENDENCE STRUCTURE BETWEEN THE MONTHLY MINIMUM AND MAXIMUM BAROMETRIC DATA IN IRAN

Year 2016, Volume: 29 Issue: 3, 593 - 597, 30.09.2016

Vadoud Najjari

Abstract

In choosing the right copula, existing methods pose numerous difficulties and none is entirely satisfactory. In this study, the main endeavor is to propose a simple and reliable method to select the right copula family that fits the best to data. In this new method,  standard  goodness of fit test statistic value is posed as a function of copula parameters and then the main problem is to investigate the minimum value of this function. Hereby an estimation of copula parameters are in the minimum point of the mentioned function and also by minimum value of the mentioned function we are able to find the right copula that is the best to data. With an empirical example the new method will be compared with results of the maximum likelihood estimation and also the nonparametric method proposed by Genest and Rivest (1993).

Keywords

Copulas, generator, goodness of fit test (GOF test), MLE

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