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A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas

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  • Selim Orhun Susam
  • Burcu Hudaverdi

Abstract

In this paper, we study on improving the goodness-of fit for the data by using τ-preserving transform for the semiparametric family of bivariate copulas. We estimate the generator function ϕ using the Bézier polynomial function and define τ- preserving transformation on the generator function under positive quadrant dependence assumption. We investigate the performance of our methodology on real data example contained life expectancy study. The findings indicate that the model fitting is improved by using τ- preserving transformation.

Suggested Citation

  • Selim Orhun Susam & Burcu Hudaverdi, 2023. "A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(21), pages 7699-7708, November.
  • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:21:p:7699-7708
    DOI: 10.1080/03610926.2022.2052900
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