Author/Authors :
Gülöksüz, Çiğdem Topçu Bartın Üniversitesi - Fen Fakültesi - İstatistik Bölümü, Turkey
Title Of Article :
Comparison of Some Selection Criteria for Selecting Bivariate Archimedean Copulas
Abstract :
Commonly, while selecting an appropriate bivariate Archimedean copula function that models data, Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC), and minimum distance (MD) are used as a selection criterion. In this study, the performances of these criteria for selecting copula function are investigated by some simulation studies.
NaturalLanguageKeyword :
Copula , Dependency , Archimedean Copula , Selection Criteria
JournalTitle :
Afyon Kocatepe University Journal Of Science and Engineering
