Öz
In this study, methods of copula estimation are used and the temperature measurement data of the
four regions located at the same positions in the range of 01.01.2008 - 30.04.2009 was modeled
with copula functions. For dependence structures of the data sets, it is calculated Kendall Tau and
Spearman Rho values which are nonparametric. Based on this method, parameters of copula are
obtained. A clear advantage of the copula-based model is that it allows for maximum-likelihood
estimation using all available data. The main aim of the method is to find the parameters that make
the likelihood functions get its maximum value. With the help of the maximum-likelihood estimation
method, for copula families, it is obtained likelihood values. These values, Akaike information
criteria (AIC) are used to determine which copula supplies the suitability for the data set.
Anahtar Kelimeler
Copula function Archimedean copula function Kendall tau Spearman rho Temperature
Kaynakça
- Abozou K. T., 2007. Copulas in Statistics, Msc Thesis, African Institute for Math.Sciences.
- Alsina C. and Bonet E., 1979. On Sums of Unıformly Dıstrubuted Random Variables, Stochastıca, 3, 2 .7
- Bouyé E., 2000. Copulas for Finance A Reading Guide and Some Applications Financial Econometrics, London.
- De Matteıs R., 2001. Fiting Copulas To Data, Diploma thesis, Institute of Math. of Univesity of Zurich.
- Genest, C., Rivest, L., 1993. Stat. inference procedures for bivariate archimedean copulas, Journal America Statistic Associative. 88, 1034-1043.
- Gianfausto, S., Carlo D. M., Nathabandu T., Kottegoda and Renzo R., 2007. Extremes In Nature, Springer.
- Joe, H., 1997. Multivariate Models and Dependence Concepts , Chapman & Hall,London.
- Kotz S., Nadarajah S., 2000. Extreme Value Distributions Theory andApplications.
- Kotz S., 2001. Correlation and Dependence, George Washington University, USA.
- Nelsen R., 1998. An introduction to copulas, Springer.
- Nelsena R. B, Quesada-Molina J., Rodriguez J. A U´beda-Flores L. M., 2006. On the construction of copulas and quasi-copulas with given diagonal Sect., Mathematics and Economics, 42, 473-483.
- Shih J. H., Louis T.A., 1995. Inferences on the association parameter in copula models for bivariate survival data, Biometrics, 51, 1384, 1399.
Öz
Kaynakça
- Abozou K. T., 2007. Copulas in Statistics, Msc Thesis, African Institute for Math.Sciences.
- Alsina C. and Bonet E., 1979. On Sums of Unıformly Dıstrubuted Random Variables, Stochastıca, 3, 2 .7
- Bouyé E., 2000. Copulas for Finance A Reading Guide and Some Applications Financial Econometrics, London.
- De Matteıs R., 2001. Fiting Copulas To Data, Diploma thesis, Institute of Math. of Univesity of Zurich.
- Genest, C., Rivest, L., 1993. Stat. inference procedures for bivariate archimedean copulas, Journal America Statistic Associative. 88, 1034-1043.
- Gianfausto, S., Carlo D. M., Nathabandu T., Kottegoda and Renzo R., 2007. Extremes In Nature, Springer.
- Joe, H., 1997. Multivariate Models and Dependence Concepts , Chapman & Hall,London.
- Kotz S., Nadarajah S., 2000. Extreme Value Distributions Theory andApplications.
- Kotz S., 2001. Correlation and Dependence, George Washington University, USA.
- Nelsen R., 1998. An introduction to copulas, Springer.
- Nelsena R. B, Quesada-Molina J., Rodriguez J. A U´beda-Flores L. M., 2006. On the construction of copulas and quasi-copulas with given diagonal Sect., Mathematics and Economics, 42, 473-483.
- Shih J. H., Louis T.A., 1995. Inferences on the association parameter in copula models for bivariate survival data, Biometrics, 51, 1384, 1399.
Ayrıntılar
| Bölüm | Makaleler |
|---|---|
| Yazarlar | |
| Yayımlanma Tarihi | 13 Haziran 2017 |
| Gönderilme Tarihi | 31 Ağustos 2016 |
| Yayımlandığı Sayı | Yıl 2017 |