2016/07/22 by Chine Amel, Amel, Chine, Benatia Fateh +3
Economics, Econometrics and Finance · #62G05 (Primary) #62G20 (Secondary) #FOS: Computer and information sciences #Methodology (stat.ME) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1607.06802
openalex publication_date 2016/07/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Trimmed L-moments, were introduced by Elamir and Seheult(2003) to proposed a new estimation method for multi-parameter distributions when the mean doesn't exist or for heavy tailed distribution where the L-moments method which proposed by Hosking (1990) is not valid because the absence of theoretical L-moments. In this paper a new estimation method based on trimmed L-moments of multi-parameter copulas is proposed with a simulation study. The consistency and the asymptotic normality of the new estimator also established.