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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 …