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arXiv · 1607.06802

Trimmed L-moments For Estimation Multi-parameter Archimedean Copulas

Chine Amel·Benatia Fateh·Brahimi Brahim
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Abstract

Trimmed L-moments, were introduced by Elamir and Seheult(2003) to proposed a new estimation method for multi-parameter distributions when the mean doesn't exist or for heavy tailed distribution where the L-moments method which proposed by Hosking (1990) is not valid because the absence of theoretical L-moments. In this paper a new estimation method based on trimmed L-moments of multi-parameter copulas is proposed with a simulation study. The consistency and the asymptotic normality of the new estimator also established.

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Chine Amel, Benatia Fateh, Brahimi Brahim. 2016-09-04. Trimmed L-moments For Estimation Multi-parameter Archimedean Copulas. https://arxiv.org/abs/1607.06802

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