A Comparison of Copula Families on Dependence Structure of Extreme Order Statistics

Yıl 2019, Cilt: 22 Sayı: 4, 855 - 862, 01.12.2019

Ferhan Baş Kaman , Hülya Olmuş

https://doi.org/10.2339/politeknik.421978

Cited By: 1

Öz

Order statistics have an important place in probability theory and
statistical inference, especially reliability analysis. It is aimed to compare the dependency structure with some copula families
of min-max copula for the extreme order statistics in this study. Suitability
of Clayton, Frank, Gumbel from Archimedean copula families, Gaussian,
Farlie-Gumbel-Morgenstern and       min-max
copula are examined by simulation study. To find the most suitable copula
family, some model selection criteries are used and important inferences are
obtained.

Anahtar Kelimeler

Dependent structure, order statistics, copula, simulation

Kaynakça

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