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
Recommended Citation
Longla, Martial and Siddiqua, Sahifa, "Two-steps Estimation problem for a new family of copula" (2024). AMS-AWM Student Research Symposium. 4.
https://egrove.olemiss.edu/ams_awm_sympo/2024/schedule/4
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.
Comments
poster