A New Family of Archimedean Copula via Trigonometric Generator Function

Authors : Selim Orhun SUSAM

Pages : 806-813

Doi:10.35378/gujs.635032

View : 11 | Download : 7

Publication Date : 2020-09-01

Article Type : Research Paper

Abstract :In this paper, new type of Archimedean copula based on cotangent generator function, and dependence characteristics are investigated. Also, the estimation procedure of the dependence parameter is given. A Monte Carlo study is performed to measure the performance of estimators. To demonstrate the goodness of fit performance of the new family, a real data analysis is performed.
Keywords : Archimedean copula, Tail dependence, Kendall`s tau, Parameter estimation