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- MakaleAçık Erişim2022TAIL 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.
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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.
AtıfScopus1WoS1
İncele - 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.
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