Volume 12, Number 2 (october 2013) | JIRSS 2013, 12(2): 321-334 | Back to browse issues page

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Payandeh A, Farid-Rohani M R, Qazvini M. A GLM-Based Method to Estimate a Copula's Parameter(s). JIRSS. 2013; 12 (2) :321-334
URL: http://jirss.irstat.ir/article-1-235-en.html

Abstract:   (3226 Views)
Abstract. This study introduces a new approach to problem of estimating parameter(s) of a given copula. More precisely, using the concept of the generalized linear models (GLM) accompanied with least square method, we introduce an estimation method, say GLM-method. A simulation study has been conducted to provide a omparison among the inversion of Kendal’s tau, the inversion of Spearman’s rho, the PML, the Copula-quantile regression with (q = 0:25 0:50 0:75), and the LMmethod. Such simulation study shows that the GLM-method is an appropriate method whenever the data distributed according to an elliptical distribution.
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Received: 2013/10/4 | Accepted: 2013/10/6 | Published: 2013/10/6

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