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- MakaleYalnız künye2022On the Archimedean copula constructed from the Bezier polynomial type diagonal section
Susam, Selim Orhun
In this study, we construct a convex Bezier type diagonal section which uniquely characterizes the Archimedean copula. The proposed diagonal section is flexible according to its polynomial degree; hence, we can add the additional parameters to the diagonal section by increasing the polynomial degree. We also present a graphical tool based on the diagonal section in order to visualize the different types of Archimdean copulas in the copula test space. As an illustration, the real data examples are given.
- MakaleYalnız künye2022Scopus SJRQ3Plug-in Estimation of Dependence Characteristics of Archimedean Copula via Bézier Curve
Susam, Selim Orhun; Erdoğan, Mahmut Sami
• This article introduces measurement of the dependence between variables with a dependence structure defined by Archimedean copulas. The estimation of the dependence measure, such as Kendall’s tau as well as the lower and upper tail dependence, is investigated by using estimation of the Kendall distribution function based on the Bézier curve. A Monte Carlo study is performed to measure the performance of the new estimation method. The simulation results showed that the proposed methods has good results in terms of estimation performance. The new estimators are also used to estimate the dependence coefficients for three sets of real data.
AtıfScopus1WoS1
İncele - MakaleAçık Erişim2020Scopus SJRQ4Parameter estimation of some archimedean copulas based on minimum cramer-von-mises distance
Susam, Selim Orhun
The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting. The estimation of the dependence parameter has been selected as the value that minimizes the Cramer-von-Mises distance which measures the distance between Empirical Bernstein Kendall distribution function and true Kendall distribution function. AMonte Carlo study is performedto measure the performance of thenewestimator and compared to conventional estimation methods. In terms of estimation performance, simulation results show that the proposed Minumum Cramer-von-Mises estimation method has a good performance for low dependence and a small sample size when compared with the other estimation methods. The new minimum distance estimation of the dependence parameter is applied to model the dependence of two real data sets.
AtıfScopus13WoS9OpenAlex10İncele - MakaleAçık Erişim2020Scopus SJRQ3A new family of archimedean copula via trigonometric generator function
Susam, Selim Orhun
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.
AtıfScopus13WoS10OpenAlex11TR Dizin1
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