Afrika Statistika

Bivariate Copulas Parameters Estimation using the Trimmed L-moments Method

Amel Chine and Fatah Benatia

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The main purpose of this paper is to use the trimmed L-moments method for the introduction of a new estimator of multi-parametric copulas in the case where the mean does not exist. The consistency and asymptotic normality of this estimator is established. An extended simulation study shows the performance of the new estimator is carried


Le but principal de ce papier est d'utiliser la méthode des trimmed L-moments pour l'introduction d'un nouvel estimateur des copules multi-paramétriques dans le c as où la moyenne n'existe pas. La consistance et la normalité asymptotique de cet estimateur sont établies. Une étude de simulation étendue, qui montre la performance du nouvel estimateur, est menée

Article information

Afr. Stat., Volume 12, Number 1 (2017), 1185-1197.

Received: 13 October 2016
Accepted: 8 April 2017
First available in Project Euclid: 22 April 2017

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Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62G05: Estimation 62G20: Asymptotic properties

Copulas Dependence measure Gumbel copula Trimmed L-moments


Chine, Amel; Benatia, Fatah. Bivariate Copulas Parameters Estimation using the Trimmed L-moments Method. Afr. Stat. 12 (2017), no. 1, 1185--1197. doi:10.16929/as/2017.1185.99.

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