- Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
- Vol: 1 Issue: 13
- Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi A...
Some Archimedean Copulas On Producer Price Index And Consumer Price Index: A Case Of Turkey - Bazi Arşimedyen Kapulalar: Üfe Ve Tüfe İçin Türkiye Uygulamasi
Authors : Ayça Büyükyilmaz
Pages : 206-215
Doi:10.20875/sb.56954
View : 11 | Download : 9
Publication Date : 2016-01-07
Article Type : Research
Abstract :In this paper, copula approach was applied to determine the dependence structure the two indices (PPI and CPI). Ali ? Mikhail ? Haq, Clayton, Frank and Gumbel ? Hougaard from Archimedean family were used. As a result it was found that the Gumbel ? Hougaard ?s family with parameter ? =2.907 was the best fitted family which models the dependence structure between the two indices.Keywords : Copula, Archimedean copula, dependency structure, goodness of fit chi-square method, Kendall?s Tau