Parameter Estimation of Archimedean Copula
Bo Yu · Science Technology and Engineering · 2009
A new parameter estimation of Archimedean Copula was proposed. To illustrate the advantage of new parameter estimation,with it is compared nonparametric method of Genest Rivest. At last, the proposed method and the nonparametric method of Genest Rivest are applied to Shanghai Stock Market.Results indicate that the new estimation is reasonable.