| Presentation | 2019-07-26 A study on asymptotically unbiased estimators of an FGM copula Shuhei Ota, Mitsuhiro Kimura, |
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| PDF Download Page |  PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | A copula, one of the multivariate distributions, is known as a useful tool for dependence modeling because they can express high and non-linear correlations of random variables. Thus, parameter estimation for copulas is effective in analyzing dependence structures among data. However, it is computationally hard work because copulas have many parameters such as marginal parameters and dependence parameters in general. For example, a $d$-variate Farlie-Gumbel-Morgenstern (FGM) copula has $2^d-d-1$ dependence parameters, and therefore the ordinary maximum likelihood estimation (MLE) is not practical from the viewpoint of the computational complexity. In this study, we present a computable estimation method for the FGM copula by using the theory of inference functions for margins. Moreover, we prove that the estimator holds asymptotic unbiasedness. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | Inference functions for margins / Maximum likelihood estimation / FGM copula / Asymptotic unbiasedness |
| Paper # | R2019-15 |
| Date of Issue | 2019-07-19 (R) |
| Conference Information | |
| Committee | R |
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| Conference Date | 2019/7/26(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | Ichinoseki Cultural Center |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | Reliability Theory, Communication Network Reliability, Reliability General |
| Chair | Akira Asato(Fujitsu) |
| Vice Chair | Tadashi Dohi(Hiroshima Univ.) |
| Secretary | Tadashi Dohi(Hosei Univ.) |
| Assistant | Hiroyuki Okamura(Hiroshima Univ.) / Shinji Yokogawa(Univ. of Electro-Comm.) |
| Paper Information | |
| Registration To | Technical Committee on Reliability |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | A study on asymptotically unbiased estimators of an FGM copula |
| Sub Title (in English) | |
| Keyword(1) | Inference functions for margins |
| Keyword(2) | Maximum likelihood estimation |
| Keyword(3) | FGM copula |
| Keyword(4) | Asymptotic unbiasedness |
| 1st Author's Name | Shuhei Ota |
| 1st Author's Affiliation | Kanagawa University(Kanagawa Univ.) |
| 2nd Author's Name | Mitsuhiro Kimura |
| 2nd Author's Affiliation | Hosei University(Hosei Univ.) |
| Date | 2019-07-26 |
| Paper # | R2019-15 |
| Volume (vol) | vol.119 |
| Number (no) | R-150 |
| Page | pp.pp.7-12(R), |
| #Pages | 6 |
| Date of Issue | 2019-07-19 (R) |