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标题：Estimating the Gumbel-Barnett copula parameter of dependence
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作者：Jennyfer Portilla Yela ; José Rafael Tovar Cuevas
期刊名称：Revista Colombiana de Estadística
印刷版ISSN：2389-8976
出版年度：2018
卷号：41
期号：1
页码：53-73
语种：English
出版社：Universidad Nacional de Colombia, sede Bogotá
摘要：In this paper, we developed an empirical evaluation of four estimation procedures for the dependence parameter of the Gumbel-Barnett copula obtained from a Gumbel type I distribution. We used the maximum likelihood, moments and Bayesian methods and studied the performance of the estimates, assuming three dependence levels and 20 different sample sizes. For each method and scenario, a simulation study was conducted with 1000 runs and the quality of the estimator was evaluated using four different criteria. A Bayesian estimator assuming a Beta(a,b) as prior distribution, showed the best performance regardless the sample size and the dependence structure.
关键词：bayesiana;copula Gumbel Barnett;correlación; dependencia copula; estimación; simulación;Copula;Dependence;Correlation; Estimation;Bayesian; Simulation