JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, vol.82, no.1, pp.137-147, 2012 (SCI-Expanded)
Article / Article
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Science Citation Index Expanded (SCI-EXPANDED), Scopus
Farlie-Gumbel-Morgenstern copula, order statistics, maximum pseudo-likelihood estimation, goodness-of-fit tests, bootstrap, DEPENDENCE, INFERENCE
Dokuz Eylül University Affiliated:
In this study, we provide the Farlie-Gumbel-Morgenstern bivariate copula of rth and sth order statistics. The main emphasis in this study is on the inference procedure which is based on the maximum pseudo-likelihood estimate for the copula parameter. As for the methodology, goodness-of-fit test statistic for copulas which is based on a Cramer-von Mises functional of the empirical copula process is applied for selecting an appropriate model by bootstrapping. An application of the methodology to simulated data set is also presented.