Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/2255
Title: A semiparametric estimation of copula models based on the method of moments
Authors: Brahim Brahimi
Abdelhakim Necir
Keywords: Archimedean copulas
Asymptotic distribution
Copula models
Measures of association
Method of moments
Semiparametric models
Statistical inference
Z-estimator
Issue Date: 11-Apr-2014
Abstract: Using the classical estimation method of moments, we propose a new semiparametric estimation procedure for multi-parameter copula models. Consistency and asymptotic normality of the obtained estimators are established. By considering an Archimedean copula model, an extensive simulation study, comparing these estimators with the pseudo maximum likelihood, rho-inversion and tau-inversion ones, is carried out. We show that, with regard to the other methods, the moment based estimation is quick and simple to use with reasonable bias and root mean squared error.Link http://www.sciencedirect.com/science/article/pii/S1572312711001195#
URI: http://dspace.univ-biskra.dz:8080/jspui/handle/123456789/2255
Appears in Collections:Publications Internationales

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