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Revista Colombiana de Estadística

Print version ISSN 0120-1751

Abstract

PORTILLA YELA, Jennyfer  and  TOVAR CUEVAS, José Rafael. Estimating the Gumbel-Barnett Copula Parameter of Dependence. Rev.Colomb.Estad. [online]. 2018, vol.41, n.1, pp.53-73. ISSN 0120-1751.  http://dx.doi.org/10.15446/rce.v41n1.64900.

In this paper, we developed an empirical evaluation of four estimation procedures for the dependence parameter of the Gumbel-Barnett copula obtained from a Gumbel type I distribution. We used the maximum likelihood, moments and Bayesian methods and studied the performance of the estimates, assuming three dependence levels and 20 different sample sizes. For each method and scenario, a simulation study was conducted with 1000 runs and the quality of the estimator was evaluated using four different criteria. A Bayesian estimator assuming a Beta(a; b) as prior distribution, showed the best performance regardless the sample size and the dependence structure.

Keywords : Bayesian; Copula; Correlation; Dependence; Estimation; GB copula; Simulation.

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