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.
Payandeh,A. , Farid-Rohani,M. R. and Qazvini,M. (2013). A GLM-Based Method to Estimate a Copula's Parameter(s). Journal of the Iranian Statistical Society, 12(2), 321-334.
MLA
Payandeh,A. , , Farid-Rohani,M. R. , and Qazvini,M. . "A GLM-Based Method to Estimate a Copula's Parameter(s)", Journal of the Iranian Statistical Society, 12, 2, 2013, 321-334.
HARVARD
Payandeh A., Farid-Rohani M. R., Qazvini M. (2013). 'A GLM-Based Method to Estimate a Copula's Parameter(s)', Journal of the Iranian Statistical Society, 12(2), pp. 321-334.
CHICAGO
A. Payandeh, M. R. Farid-Rohani and M. Qazvini, "A GLM-Based Method to Estimate a Copula's Parameter(s)," Journal of the Iranian Statistical Society, 12 2 (2013): 321-334,
VANCOUVER
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.
Journal of the Iranian Statistical Society