Yazarlar

• Susam, Selim Orhun(2)

• MakaleAçık Erişim2020Scopus SJRQ4/r/munzur/3714
  Parameter 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.

  AtıfScopus13·WoS9·OpenAlex10

  İncele
• MakaleAçık Erişim2020Scopus SJRQ3/r/munzur/3270
  A 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.

  AtıfScopus13·WoS10·OpenAlex11·TR Dizin1

  İncele