eGrove - AMS-AWM Student Research Symposium: Two-steps Estimation problem for a new family of copula
 

Two-steps Estimation problem for a new family of copula

Location

Room 321, Hume Hall

Start Date

27-4-2024 10:00 AM

End Date

27-4-2024 11:00 AM

Description

This work delves into continuous state stationary reversible Markov chains generated by a new family of copulas with marginals from a scale-parameter family. A 2-steps estimation procedure is used to find the estimators of copula parameters. This method requires a consistent estimator of the scale parameter to establish large sample properties of estimator. A simulation study was also done in R to support the findings.

Relational Format

conference proceeding

Comments

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Apr 27th, 10:00 AM Apr 27th, 11:00 AM

Two-steps Estimation problem for a new family of copula

Room 321, Hume Hall

This work delves into continuous state stationary reversible Markov chains generated by a new family of copulas with marginals from a scale-parameter family. A 2-steps estimation procedure is used to find the estimators of copula parameters. This method requires a consistent estimator of the scale parameter to establish large sample properties of estimator. A simulation study was also done in R to support the findings.