- Afyon Kocatepe Üniversitesi Fen Ve Mühendislik Bilimleri Dergisi
- Vol: 16 Issue: 2
- Comparison of Some Selection Criteria for Selecting Bivariate Archimedean Copulas
Comparison of Some Selection Criteria for Selecting Bivariate Archimedean Copulas
Authors : Çiğdem Topçu Gülöksüz
Pages : 250-255
View : 18 | Download : 7
Publication Date : 2016-04-30
Article Type : Research
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.Keywords : Copula, Dependency, Archimedean Copula, Selection Criteria