Ferhan BAŞ KAMAN, Hülya OLMUŞ

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

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.

Anahtar Kelimeler:

Dependent structure, order statistics, copula, simulation

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

Keywords:

Dependent structure, order statistics, copula, simulation,

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