A flexible parameter estimation method for the Farlie-Gumbel-Morgenstern copula: a simulation study

MakaleYalnız künyeScopus SJRQ2

Özet

This research presents a minimum distance method based on the Bernstein empirical copula process for estimating the dependence parameter of the Farlie-Gumbel-Morgenstein copula. Also, this study examines its performance through a comprehensive Monte Carlo simulation study. The findings in this paper demonstrate that selecting the optimal degree of the Bernstein empirical copula has a significant impact on the performance of the new estimation method. The proposed estimator achieves optimal performance in terms of mean squared error (MSE) for the parameter range (Formula presented.) in small sample sizes, while outside this range, its performance varies depending on the degree of the Bernstein empirical copula. Finally, we apply the new method to real data for illustrative purposes.

Anahtar Kelimeler

RDL Kalıcı Bağlantı (PID)
https://rdlopen.rawdatalibrary.net/r/munzur/2147Resmi atıflarda kullanılan kalıcı adres
İndeks kayıtları
Kaydın indeks veri tabanlarındaki sayfası (aktarımda alınan kayıt numarasıyla). Erişim, indeksin kendi koşullarına bağlıdır.
Atıflar
Scopus
3
WoS
4
OpenAlex
3
Her kaynağın kendi saydığı toplam atıf; aktarım ve zenginleştirme sırasında alındı.
Tam Kayıt
AlanDeğerDil
dc.contributor.authorSusam, Selim Orhun
dc.date.accessioned2026-10-28T14:54:59.617404857Z
dc.date.available2026-10-28T14:54:59.617404857Z
dc.date.issued2025
dc.description.abstractThis research presents a minimum distance method based on the Bernstein empirical copula process for estimating the dependence parameter of the Farlie-Gumbel-Morgenstein copula. Also, this study examines its performance through a comprehensive Monte Carlo simulation study. The findings in this paper demonstrate that selecting the optimal degree of the Bernstein empirical copula has a significant impact on the performance of the new estimation method. The proposed estimator achieves optimal performance in terms of mean squared error (MSE) for the parameter range (Formula presented.) in small sample sizes, while outside this range, its performance varies depending on the degree of the Bernstein empirical copula. Finally, we apply the new method to real data for illustrative purposes.
dc.identifier.doi10.1080/00949655.2025.2494140
dc.identifier.eissn1563-5163
dc.identifier.endpage2425
dc.identifier.issn0094-9655
dc.identifier.issue11
dc.identifier.scopus2-s2.0-105003473849
dc.identifier.startpage2407
dc.identifier.urihttps://rdlopen.rawdatalibrary.net/r/munzur/2147
dc.identifier.volume95
dc.identifier.wosWOS:001475826500001
dc.language.isoen
dc.publisherTaylor and Francis Ltd.
dc.relation.ispartofJournal of Statistical Computation and Simulation
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectCopulas
dc.subjectmaximum likelihood
dc.subjectMonte Carlo simulation
dc.subjectnonparametric statistics
dc.subject.classificationComputer Science, Interdisciplinary Applications
dc.subject.classificationStatistics & Probability
dc.subject.classificationComputer Science
dc.subject.classificationMathematics
dc.subject.otherOF-FIT TESTS
dc.subject.otherSEMIPARAMETRIC ESTIMATION
dc.subject.otherCOHERENT SYSTEMS
dc.subject.otherBERNSTEIN
dc.subject.otherDISTRIBUTIONS
dc.subject.otherDEPENDENCE
dc.subject.otherFAMILY
dc.titleA flexible parameter estimation method for the Farlie-Gumbel-Morgenstern copula: a simulation study
dc.typeArticle
rdl.citation.openalex3
rdl.citation.scopus3
rdl.citation.wos4
rdl.oa.statusclosed
rdl.scopus.quartileQ2
rdl.source.indexSCOPUS
rdl.source.indexWOS
rdl.wos.indexScience Citation Index Expanded (SCI-EXPANDED)