Brahimi, Brahim; Chebana, Fateh 
ORCID: https://orcid.org/0000-0002-3329-8179 et Necir, Abdelhakim
(2015).
Copula representation of bivariate L-moments: a new estimation method for multiparameter two-dimensional copula models.
Statistics
, vol. 49
, nº 3.
pp. 497-521.
DOI: 10.1080/02331888.2014.932792.
Résumé
Serfling and Xiao [A contribution to multivariate L-moments, L-comoment matrices. J Multivariate Anal. 2007;98:1765-1781] extended the L-moment theory to the multivariate setting. In the present paper, we focus on the two-dimensional random vectors to establish a link between the bivariate L-moments (BLM) and the underlying bivariate copula functions. This connection provides a new estimate of dependence parameters of bivariate statistical data. Extensive simulation study is carried out to compare estimators based on the BLM, the maximum likelihood, the minimum distance and a rank approximate Z-estimation. The obtained results show that, when the sample size increases, BLM-based estimation performs better as far as the bias and computation time are concerned. Moreover, the root-mean-squared error is quite reasonable and less sensitive in general to outliers than those of the above cited methods. Further, the proposed BLM method is an easy-to-use tool for the estimation of multiparameter copula models. A generalization of the BLM estimation method to the multivariate case is discussed.
| Type de document: | Article |
|---|---|
| Mots-clés libres: | Archimedean copulas; copulas; dependence; FGM copulas; multivariate L-moments; parametric estimation |
| Centre: | Centre Eau Terre Environnement |
| Date de dépôt: | 13 déc. 2016 20:59 |
| Dernière modification: | 21 févr. 2022 17:29 |
| URI: | https://espace.inrs.ca/id/eprint/3549 |
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