Les auteurs s’intéressent à l’inversion du beta de Blomqvist comme estimateur des moments du paramètre de dépendance réel d’un modèle de copule bivarié. Cet estimateur est obtenu en isolant le paramètre de la copule dans l’équation
The authors consider the inversion of Blomqvist’s beta as a method-of-moments estimator for a real-valued dependence parameter in a bivariate copula model. This estimator results from solving the equation
Mot clés : copule Archimédienne, beta de Blomqvist, tau de Kendall, copule meta-elliptiqu, copule de valeurs extrêmes
@article{JSFS_2013__154_1_5_0, author = {Genest, Christian and Carabar{\'\i}n-Aguirre, Alberto and Harvey, Fanny}, title = {Copula parameter estimation using {Blomqvist{\textquoteright}s} beta}, journal = {Journal de la soci\'et\'e fran\c{c}aise de statistique}, pages = {5--24}, publisher = {Soci\'et\'e fran\c{c}aise de statistique}, volume = {154}, number = {1}, year = {2013}, mrnumber = {3089614}, zbl = {1316.62069}, language = {en}, url = {https://www.numdam.org/item/JSFS_2013__154_1_5_0/} }
TY - JOUR AU - Genest, Christian AU - Carabarín-Aguirre, Alberto AU - Harvey, Fanny TI - Copula parameter estimation using Blomqvist’s beta JO - Journal de la société française de statistique PY - 2013 SP - 5 EP - 24 VL - 154 IS - 1 PB - Société française de statistique UR - https://www.numdam.org/item/JSFS_2013__154_1_5_0/ LA - en ID - JSFS_2013__154_1_5_0 ER -
%0 Journal Article %A Genest, Christian %A Carabarín-Aguirre, Alberto %A Harvey, Fanny %T Copula parameter estimation using Blomqvist’s beta %J Journal de la société française de statistique %D 2013 %P 5-24 %V 154 %N 1 %I Société française de statistique %U https://www.numdam.org/item/JSFS_2013__154_1_5_0/ %G en %F JSFS_2013__154_1_5_0
Genest, Christian; Carabarín-Aguirre, Alberto; Harvey, Fanny. Copula parameter estimation using Blomqvist’s beta. Journal de la société française de statistique, Numéro spécial sur les copules, Tome 154 (2013) no. 1, pp. 5-24. https://www.numdam.org/item/JSFS_2013__154_1_5_0/
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