ASYMPTOTIC NORMALITY OF TRIMMED L-MOMENTS ESTIMATOR FOR ARCHIMEDEAN COPULAS
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Published:2023-03-30
Issue:1
Volume:23
Page:149-162
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ISSN:2068-3049
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Container-title:Journal of Science and Arts
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language:en
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Short-container-title:J. Sci. Arts
Author:
NESRINE IDIOU1, FATAH BENATIA1
Affiliation:
1. Biskra University, Department of Mathematics, 00007 Biskra, Algeria.
Abstract
In order to present a new estimation approach for multi-parameter distributions without a mean or for heavy tailed distributions, in which the L-moments method proposed by Gumbel, (1960), is invalid due to the absence of theoretical L-moments, Trimmed L-moments were first introduced by Elamir and Seheult (2003). In this paper, a new estimation method based on multi-parameter copulas' Trimmed L-moments is proposed with a simulation study. The consistency and the asymptotic normality of the new estimator also established.
Publisher
Valahia University of Targoviste - Journal of Science and Arts
Subject
General Earth and Planetary Sciences,General Environmental Science
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