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Inference procedures for bivariate exponential model of Gumbel

Author

Listed:
  • Lu, Jye-Chyi
  • Bhattacharyya, Gouri K.

Abstract

In this article, statistical properties of an absolutely continuous bivariate exponential model due to Gumbel (1960) are examined and the Fisher information matrix is derived. Simple estimators are motivated from a structural representation of the model and are compared both in terms of asymptotic efficiency and finite sample simulation. Besides their good performance, some of the simple estimators lead to exact or nearly exact confidence interval and hypotheses test procedures. The proposed methods are illustrated by reanalyzing a data set to which asymptotic methods were employed by Gross and Lam (1981) under a different bivariate exponential model.

Suggested Citation

  • Lu, Jye-Chyi & Bhattacharyya, Gouri K., 1991. "Inference procedures for bivariate exponential model of Gumbel," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 37-50, July.
    • Handle: RePEc:eee:stapro:v:12:y:1991:i:1:p:37-50
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    Cited by:

    1. Nadarajah Saralees & Kotz Samuel, 2006. "Determination of Software Reliability based on Multivariate Exponential, Lomax and Weibull Models," Monte Carlo Methods and Applications, De Gruyter, vol. 12(5), pages 447-459, November.
    2. Damiano Brigo & Cristin Buescu & Massimo Morini, 2011. "Impact of the first to default time on Bilateral CVA," Papers 1106.3496, arXiv.org.
    3. Falk, Michael & Reiss, Rolf-Dieter, 2003. "Efficient estimators and LAN in canonical bivariate POT models," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 190-207, January.
    4. Damiano Brigo & Kyriakos Chourdakis, 2012. "Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas," Papers 1204.2090, arXiv.org, revised Apr 2012.
    5. repec:jss:jstsof:46:i13 is not listed on IDEAS

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