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- MakaleAçık Erişim2022Scopus SJRQ3A multi-parameter Generalized Farlie-Gumbel-Morgenstern bivariate copula family via Bernstein polynomial
Susam, Selim Orhun
In this paper, we are proposing a flexible method for constructing a bivariate generalized Farlie-Gumbel-Morgenstern (G-FGM) copula family. The method is mainly developed around the function ϕ(t) (t ∈ [0, 1]), where ϕ is the generator of the G-FGM copula. The proposed construction method has useful advantages. The first of which is the direct relationship between the ϕ function and Kendall’s tau. The second advantage is the possibility of constructing a multi-parameter G-FGM copula which allows us to better harmonize empirical instruction with the model. The construction method is illustrated by three real data examples.
AtıfScopus16WoS15OpenAlex15
İncele - 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.
AtıfScopus1WoS1İncele - 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 Dizin1İncele