Statistics, Optimization and Information Computing, Volume (8), Year (2020-12) , Pages (834-845)

Title : ( A Simulation Study of Semiparametric Estimation in Copula Models Based on Minimum Alpha-Divergence )

Authors: Morteza Mohammadi , Mohammad Amini , Mahdi Emadi ,

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Abstract

The purpose of this paper is to introduce two semiparametric methods for the estimation of copula parameter. These methods are based on minimum Alpha-Divergence between a non-parametric estimation of copula density using local likelihood probit transformation method and a true copula density function. A Monte Carlo study is performed to measure the performance of these methods based on Hellinger distance and Neyman divergence as special cases of Alpha-Divergence. Simulation results are compared to the Maximum Pseudo-Likelihood (MPL) estimation as a conventional estimation method in well-known bivariate copula models. These results show that the proposed method based on Minimum Pseudo Hellinger Distance estimation has a good performance in small sample size and weak dependency situations. The parameter estimation methods are applied to a real data set in Hydrology

Keywords

, Alpha-Divergence, Copula Density, Hellinger Distance, Semiparametric Estimation
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@article{paperid:1081675,
author = {Mohammadi, Morteza and Amini, Mohammad and Emadi, Mahdi},
title = {A Simulation Study of Semiparametric Estimation in Copula Models Based on Minimum Alpha-Divergence},
journal = {Statistics, Optimization and Information Computing},
year = {2020},
volume = {8},
month = {December},
issn = {2311-004X},
pages = {834--845},
numpages = {11},
keywords = {Alpha-Divergence; Copula Density; Hellinger Distance; Semiparametric Estimation},
}

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%0 Journal Article
%T A Simulation Study of Semiparametric Estimation in Copula Models Based on Minimum Alpha-Divergence
%A Mohammadi, Morteza
%A Amini, Mohammad
%A Emadi, Mahdi
%J Statistics, Optimization and Information Computing
%@ 2311-004X
%D 2020

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