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:: Volume 16, Issue 1 (9-2022) ::
JSS 2022, 16(1): 149-163 Back to browse issues page
Comparison of Three Moment Methods of Parameter Estimation for FGM Copula in the Presence of Outlier
Bibi Maryam Taheri , Hadi Jabbari * , Mohammad Amini
Abstract:   (1326 Views)

Paying attention to the copula function in order to model the structure of data dependence has become very common in recent decades. Three methods of estimation, moment method, mixture method, and copula moment, are considered to estimate the dependence parameter of copula function in the presence of outlier data. Although the moment method is an old method, sometimes this method leads to inaccurate estimation. Thus, two other moment-based methods are intended to improve that old method. The simulation study results showed that when we use copula moment and mixture moment for estimating the dependence parameter of copula function in the presence of outlier data, the obtained MSEs are smaller. Also, the copula moment method is the best estimate based on MSE. Finally, the obtained numerical results are used in a practical example.

Keywords: Copula, Outlier, Moment-Based Estimate, Dependence Parameter, Bivariate Analysis.
Full-Text [PDF 283 kb]   (430 Downloads)    
Type of Study: Applied | Subject: Applied Statistics
Received: 2021/03/5 | Accepted: 2022/09/1 | Published: 2022/08/2
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Taheri B M, Jabbari H, Amini M. Comparison of Three Moment Methods of Parameter Estimation for FGM Copula in the Presence of Outlier. JSS. 2022; 16 (1) :149-163
URL: http://jss.irstat.ir/article-1-754-en.html


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Volume 16, Issue 1 (9-2022) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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