Gumbel-Barnett相关参数的估计

Q3 Mathematics

Revista Colombiana De Estadistica Pub Date : 2018-01-01 DOI:10.15446/RCE.V41N1.64900

Jennyfer Portilla Yela, J. Cuevas

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引用次数: 6

摘要

本文对Gumbel- barnett copula依赖参数的四种估计方法进行了实证评价。我们使用最大似然、矩和贝叶斯方法，并研究了估计的性能，假设三个依赖水平和20个不同的样本量。对于每种方法和场景，进行了1000次运行的模拟研究，并使用四种不同的标准评估了估计器的质量。假设Beta(A,b)为先验分布的贝叶斯估计器，无论样本大小和依赖结构如何，都表现出最好的性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Estimating the Gumbel-Barnett copula parameter of dependence

In this paper, we developed an empirical evaluation of four estimation procedures for the dependence parameter of the Gumbel-Barnett copula obtained from a Gumbel type I distribution. We used the maximum likelihood, moments and Bayesian methods and studied the performance of the estimates, assuming three dependence levels and 20 different sample sizes. For each method and scenario, a simulation study was conducted with 1000 runs and the quality of the estimator was evaluated using four different criteria. A Bayesian estimator assuming a Beta(a,b) as prior distribution, showed the best performance regardless the sample size and the dependence structure.

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来源期刊

Revista Colombiana De Estadistica STATISTICS & PROBABILITY-

CiteScore

1.20

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Colombian Journal of Statistics publishes original articles of theoretical, methodological and educational kind in any branch of Statistics. Purely theoretical papers should include illustration of the techniques presented with real data or at least simulation experiments in order to verify the usefulness of the contents presented. Informative articles of high quality methodologies or statistical techniques applied in different fields of knowledge are also considered. Only articles in English language are considered for publication. The Editorial Committee assumes that the works submitted for evaluation have not been previously published and are not being given simultaneously for publication elsewhere, and will not be without prior consent of the Committee, unless, as a result of the assessment, decides not publish in the journal. It is further assumed that when the authors deliver a document for publication in the Colombian Journal of Statistics, they know the above conditions and agree with them.