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Journals / Politeknik Dergisi / 2019 / Cilt: 22 Sayı: 4

A Comparison of Copula Families on Dependence Structure of Extreme Order Statistics

Ferhan Baş Kaman0000-0002-1879-9215
Hülya Olmuş0000-0002-8983-708X
Pages
855–862
Publication Date
2019-12-01
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

To find the most suitable copula family, some model selection criteries are used and important inferences are obtained.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Order statistics have an important place in probability theory and statistical inference, especially reliability analysis.
📊
Key Findings & Data:It is aimed to compare the dependency structure with some copula families of min-max copula for the extreme order statistics in this study.
💡
Conclusion & Impact:To find the most suitable copula family, some model selection criteries are used and important inferences are obtained.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Dependent structure · order statistics · copula

Abstract

Order statistics have an important place in probability theory and statistical inference, especially reliability analysis. It is aimed to compare the dependency structure with some copula families of min-max copula for the extreme order statistics in this study. Suitability of Clayton, Frank, Gumbel from Archimedean copula families, Gaussian, Farlie-Gumbel-Morgenstern and min-max copula are examined by simulation study. To find the most suitable copula family, some model selection criteries are used and important inferences are obtained.

Özet

Order statistics have an important place in probability theory and statistical inference, especially reliability analysis. It is aimed to compare the dependency structure with some copula families of min-max copula for the extreme order statistics in this study. Suitability of Clayton, Frank, Gumbel from Archimedean copula families, Gaussian, Farlie-Gumbel-Morgenstern and min-max copula are examined by simulation study. To find the most suitable copula family, some model selection criteries are used and important inferences are obtained.

🔖

Cite This Article

Kaman, F. B., Olmuş, H. (2019). A Comparison of Copula Families on Dependence Structure of Extreme Order Statistics. Politeknik Dergisi, Cilt: 22 Sayı: 4, 855–862. https://doi.org/10.2339/politeknik.421978

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