Research Article
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Year 2020, Volume: 33 Issue: 3, 806 - 813, 01.09.2020
https://doi.org/10.35378/gujs.635032

Abstract

References

  • Bagdasaryan, A., `` A Note on the $_{2}F_{1}$ Hypergeometric Function'', Journal of Mathematics Research, 2(3): 71-77, (2010).
  • Genest, C., Rivest, L., ``Statistical inference procedures for bivariate Archimedean copulas'',Journal of the American Statistical Association, 88: 1043-1043, (1993)
  • Genest C., Molina J., J.Lallena, J., ``De l’impossibilite de construire des lois a marges multidimensionnelles donnees a partir de copules'', Comptes rendus de l’Acadmie des Sciences, 320: 723–726, (1995).
  • Genest, C., Quessy, J.F., R\'emillard, B., ``Goodness-of-fit procedures for copula models based on the probability integral transform'', Scandinavian Journal of Statistics, 33:337-366, (2006).
  • Genest C.,, R\'emillard, B., Beaudoin, D., ``Goodness-of-fit tests for copulas: A review and a power study'', Insur Math Econ, 44:199-213, (2008).
  • Kojadinovic, I., Yan, J., ``Comparison of three semiparametric methods for estimating dependence parameters in copula models'', Insurance: Mathematics and Economics, 47:52-63, (2010).
  • Bal, H., Najjari, V., ``Archimedean copulas family via hyperbolic generator'' , Gazi university journal of science, 26:195-200, (2013).
  • Najjari, V., Bacigal, T., Bal, H., ``An archimedean copula family with hyperbolic cotangent generator'', International Journal of Uncertainty Fuzziness and Knowledge-Based Systems.20(5): 761-768, (2014).
  • Michiels F., Koch, I., De Schepper A., ``How to improve the fit of Archimedean copulas by means of transforms'', Statistical Papers, 53:345-355, (2012).
  • Michiels F., Koch, I., De Schepper A., ``A New Method for the Construction of Bivariate Archimedean Copulas Based on the $\lambda$ Function'', Communications in Statistics - Theory and Methods, 40: 2670-2679, (2011).
  • Sklar, A., ``Fonctions de re´partition a´ n dimensions et leurs marges'' , Publications de l’Institut de Statistique de l’Universite´ de Paris, 8:229-231, (1959).
  • Susam, S.O., Hudaverdi, B.U., ``Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function'', Journal of Statistical Computation and Simulation, 88(13): 2589-2599, (2018).
  • Weib, G., ``Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study'', Computitional Statistics, 26:31-54, (2011).

A New Family of Archimedean Copula via Trigonometric Generator Function

Year 2020, Volume: 33 Issue: 3, 806 - 813, 01.09.2020
https://doi.org/10.35378/gujs.635032

Abstract

In this paper, new type of Archimedean copula based on cotangent generator function, and dependence characteristics are investigated. Also, the estimation procedure of the dependence parameter is given. A Monte Carlo study is performed to measure the performance of estimators. To demonstrate the goodness of fit performance of the new family, a real data analysis is performed.

References

  • Bagdasaryan, A., `` A Note on the $_{2}F_{1}$ Hypergeometric Function'', Journal of Mathematics Research, 2(3): 71-77, (2010).
  • Genest, C., Rivest, L., ``Statistical inference procedures for bivariate Archimedean copulas'',Journal of the American Statistical Association, 88: 1043-1043, (1993)
  • Genest C., Molina J., J.Lallena, J., ``De l’impossibilite de construire des lois a marges multidimensionnelles donnees a partir de copules'', Comptes rendus de l’Acadmie des Sciences, 320: 723–726, (1995).
  • Genest, C., Quessy, J.F., R\'emillard, B., ``Goodness-of-fit procedures for copula models based on the probability integral transform'', Scandinavian Journal of Statistics, 33:337-366, (2006).
  • Genest C.,, R\'emillard, B., Beaudoin, D., ``Goodness-of-fit tests for copulas: A review and a power study'', Insur Math Econ, 44:199-213, (2008).
  • Kojadinovic, I., Yan, J., ``Comparison of three semiparametric methods for estimating dependence parameters in copula models'', Insurance: Mathematics and Economics, 47:52-63, (2010).
  • Bal, H., Najjari, V., ``Archimedean copulas family via hyperbolic generator'' , Gazi university journal of science, 26:195-200, (2013).
  • Najjari, V., Bacigal, T., Bal, H., ``An archimedean copula family with hyperbolic cotangent generator'', International Journal of Uncertainty Fuzziness and Knowledge-Based Systems.20(5): 761-768, (2014).
  • Michiels F., Koch, I., De Schepper A., ``How to improve the fit of Archimedean copulas by means of transforms'', Statistical Papers, 53:345-355, (2012).
  • Michiels F., Koch, I., De Schepper A., ``A New Method for the Construction of Bivariate Archimedean Copulas Based on the $\lambda$ Function'', Communications in Statistics - Theory and Methods, 40: 2670-2679, (2011).
  • Sklar, A., ``Fonctions de re´partition a´ n dimensions et leurs marges'' , Publications de l’Institut de Statistique de l’Universite´ de Paris, 8:229-231, (1959).
  • Susam, S.O., Hudaverdi, B.U., ``Testing independence for Archimedean copula based on Bernstein estimate of Kendall distribution function'', Journal of Statistical Computation and Simulation, 88(13): 2589-2599, (2018).
  • Weib, G., ``Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study'', Computitional Statistics, 26:31-54, (2011).
There are 13 citations in total.

Details

Primary Language English
Subjects Engineering
Journal Section Statistics
Authors

Selim Orhun Susam 0000-0001-7896-9055

Publication Date September 1, 2020
Published in Issue Year 2020 Volume: 33 Issue: 3

Cite

APA Susam, S. O. (2020). A New Family of Archimedean Copula via Trigonometric Generator Function. Gazi University Journal of Science, 33(3), 806-813. https://doi.org/10.35378/gujs.635032
AMA Susam SO. A New Family of Archimedean Copula via Trigonometric Generator Function. Gazi University Journal of Science. September 2020;33(3):806-813. doi:10.35378/gujs.635032
Chicago Susam, Selim Orhun. “A New Family of Archimedean Copula via Trigonometric Generator Function”. Gazi University Journal of Science 33, no. 3 (September 2020): 806-13. https://doi.org/10.35378/gujs.635032.
EndNote Susam SO (September 1, 2020) A New Family of Archimedean Copula via Trigonometric Generator Function. Gazi University Journal of Science 33 3 806–813.
IEEE S. O. Susam, “A New Family of Archimedean Copula via Trigonometric Generator Function”, Gazi University Journal of Science, vol. 33, no. 3, pp. 806–813, 2020, doi: 10.35378/gujs.635032.
ISNAD Susam, Selim Orhun. “A New Family of Archimedean Copula via Trigonometric Generator Function”. Gazi University Journal of Science 33/3 (September 2020), 806-813. https://doi.org/10.35378/gujs.635032.
JAMA Susam SO. A New Family of Archimedean Copula via Trigonometric Generator Function. Gazi University Journal of Science. 2020;33:806–813.
MLA Susam, Selim Orhun. “A New Family of Archimedean Copula via Trigonometric Generator Function”. Gazi University Journal of Science, vol. 33, no. 3, 2020, pp. 806-13, doi:10.35378/gujs.635032.
Vancouver Susam SO. A New Family of Archimedean Copula via Trigonometric Generator Function. Gazi University Journal of Science. 2020;33(3):806-13.