Selim Orhun Susam

[ 1 ] - Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance

The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting. The estimation of the dependence parameter has been selected as the value that minimizes the Cramér-von-Mises distance which measures the distance between Empirical Bernstein Kendall distribution function and true Kendall distribution functi...