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Copula representation of bivariate L-moments: a new estimation method for multiparameter two-dimensional copula models.

Brahimi, Brahim; Chebana, Fateh; Necir, Abdelhakim (2015). Copula representation of bivariate L-moments: a new estimation method for multiparameter two-dimensional copula models. Statistics , vol. 49 , nº 3. p. 497-521. DOI: 10.1080/02331888.2014.932792.

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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:
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: 13 déc. 2016 20:59
URI: http://espace.inrs.ca/id/eprint/3549

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