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Two-stage estimation using copula function
Ali Hedayati , Esmaile Khorram , Saeid Rezakhah
Abstract:   (76 Views)

Maximum likelihood estimation of multivariate distributions needs solving a optimization problem with large dimentions (to the number of unknown parameters) but two‎- ‎stage estimation divides this problem to several simple optimizations. ‎It saves significant amount of computational time‎. ‎Two methods are investigated for estimation consistency check‎. ‎We revisit Sankaran and Nair's bivariate Pareto distribution as an example‎. ‎Two data sets (simulated data and real data) have been analyzed for illustrative purposes‎.

Keywords: ‎Maximum likelihood estimation‎, ‎two‎- ‎stage estimation‎, ‎copula function‎, ‎estimation consistency‎, ‎bivariate Pareto distribution‎
Full-Text [PDF 240 kb]   (35 Downloads)    
Type of Study: Research | Subject: Special
Received: 2016/06/13 | Accepted: 2018/04/9 | Published: 2018/04/9
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Hedayati A, Khorram E, Rezakhah S. Two-stage estimation using copula function. Andishe. 2018; 22 (2)
URL: http://andisheyeamari.irstat.ir/article-1-430-en.html


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