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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국통계학회 CSAM(Communications for Statistical Applications and Methods) CSAM(Communications for Statistical Applications and Methods) 제30권 제5호
- 발행연도
- 2023.9
- 수록면
- 467 - 483 (17page)
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초록· 키워드
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In this research, a conversion function and a distortion associated with the conversion function are defined and used to derive a unit power Gompertz distortion. A new family of copulas is built using the global distorted function. Four base copulas, namely Clayton, Gumbel, Frank, and Gaussian, are distorted into the family. Some properties including tail dependence coecients and tail order are examined. Kendall’s tau formula is derived for new copulas when the base copula is Clayton, Gumbel, or Frank. The maximum pseudo-likelihood estimation method is employed, and a simulation study was performed. The log-likelihood and AIC are reported to compare the performance of the fitted copulas. According to the applied data, the results indicate that new distorted copulas with additional parameters improve the fit.
목차
Abstract
1. Introduction
2. Copula models
3. Conversion function and distortion
4. Tail orders and dependence coefficients
5. Kendall’s tau
6. Application
7. Concluding remarks
References
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