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Simulation techniques of Archimedean Copula Estimators: Parametric and Semi-Parametric Approaches

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  • N. Idiou
  • F. Benatia

Abstract

In this paper, we look at two different approaches methodologies for copula estimation. The first is based on a parametric approach using MLE and IFM methods, while the second is entirely based on Kendall's tau and spearman's rho in a semi-parametric context, where the margins are estimated non-parametrically. Interestingly, based on R software simulation techniques, the contribution of their algorithms, approach, and illustration was our main focus for this paper. As an application, a class of Archimedean copulas was notably chosen. This particular class of copulas was also presented for censored data to show the estimator's performance even better.

Suggested Citation

  • N. Idiou & F. Benatia, 2021. "Simulation techniques of Archimedean Copula Estimators: Parametric and Semi-Parametric Approaches," European Journal of Mathematics and Statistics, European Open Science, vol. 2(3), pages 52-60, June.
    • Handle: RePEc:epw:ejmath:v:2:y:2021:i:3:id:14048
    DOI: 10.24018/ejmath.2021.2.3.48
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    References listed on IDEAS

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