parametric estimation methods for bivariate copula in rainfall application
- Mohd. Lokoman, Rahmah
- Yusof, Fadhilah
DOIAbstract
This study focuses on the parametric methods: maximum likelihood (ML), inference function of margins (IFM), and adaptive maximization by parts (AMBP) in estimating copula dependence parameter. Their performance is compared through simulation and empirical studies. For the empirical study, 44 years of daily rainfall data of Station Kuala Krai and Station Ulu Sekor were used. The correlation of the two stations is statistically significant at 0.4137. The results from the simulation study show that when the sample size is small (n <1000) for correlation level less than 0.80, IFM has the best performance. While, when the sample size is large (n ≥ 1000) for any correlation level, AMBP has the best performance. The results from the empirical stud...
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