A GLM-Based Method to Estimate a Copula's Parameter(s)

Authors

Abstract

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.

Keywords

Volume 12, Issue 2
October 2013
Pages 321-334
  • Receive Date: 23 July 2022
  • Revise Date: 25 May 2024
  • Accept Date: 23 July 2022