Trimmed L-moments For Estimation Multi-parameter Archimedean Copulas
Methodology
2016-09-06 v2
Abstract
Trimmed L-moments, were introduced by Elamir and Seheult(2003) to proposed a new estimation method for multi-parameter distributions when the mean doesn't exist or for heavy tailed distribution where the L-moments method which proposed by Hosking (1990) is not valid because the absence of theoretical L-moments. In this paper a new estimation method based on trimmed L-moments of multi-parameter copulas is proposed with a simulation study. The consistency and the asymptotic normality of the new estimator also established.
Keywords
Cite
@article{arxiv.1607.06802,
title = {Trimmed L-moments For Estimation Multi-parameter Archimedean Copulas},
author = {Chine Amel and Benatia Fateh and Brahimi Brahim},
journal= {arXiv preprint arXiv:1607.06802},
year = {2016}
}
Comments
This paper has been withdrawn by the author due to a crucial modification