ResearchBib Share Your Research, Maximize Your Social Impacts
Sign for Notice Everyday Sign up >> Login

Simulation study on copulas

Journal: Sahand Communications in Mathematical Analysis (Vol.1, No. 2)

Publication Date:

Authors : ; ; ;

Page : 55-63

Keywords : Copulas; Order statistics; Generating random variables; Goodness of fit test;

Source : Download Find it from : Google Scholarexternal

Abstract

There are several theorical results about order statistics and copulas in the literature that have been mentioned also by Nelsen cite{p20}. The present study after reviewing some of these results, relies on simulation technique to investigate the mentioned results about order statistics and copulas. The study concentrates on two well known Archimedean Gumbel and Frank families in the case that marginal functions F(k) and G(k) have different distributions.

Last modified: 2015-08-17 13:27:15