Yazarlar

• Susam, Selim Orhun(2)

• MakaleYalnız künye2022/r/munzur/4814
  On 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.

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• MakaleAçık Erişim2022/r/munzur/4535
  TAIL DEPENDENCE ESTIMATION BASED ON SMOOTH ESTIMATION OF DIAGONAL SECTION

  Susam, Selim Orhun

  This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19]. Hence, we propose a flexible method for estimating tail dependence coefficients based on the new smooth estimation of the diagonal section based on the Bernstein polynomial approximation. To assess the performance of the new estimators we conduct the Monte-Carlo simulation study. As a result of the simulation study, both estimators perform satisfactory performance. Also, the estimation methods are illustrated by real data examples.

  AtıfWoS1·OpenAlex1

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