On dependence of the weighted Marshall-Olkin bivariate exponential model in the presence of the copula function

Document Type : Original Scientific Paper

Authors

Department of Statistics‎, ‎Payame Noor University‎, ‎Tehran‎, ‎Iran

Abstract

In this paper‎, ‎we develop a version of the weighted Marshall-Olkin bivariate exponential model by incorporating a new parameter‎. ‎This parameter describes the dependence structure between margins via a copula function‎. ‎We choose the inference for margins method to estimate the model parameters along with the copula parameter‎, ‎as this method offers more advantages than the maximum likelihood estimation method‎. ‎Additionally‎, ‎we conduct a comprehensive simulation study to investigate the behavior of the copula parameter estimator and the remaining parameters‎. ‎Finally‎, ‎an analysis of a real dataset on automobile insurance reveals that the Clayton copula characterizes the dependence structure within the Archimedean copula family

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References

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Journal of Statistical Modelling: Theory and Applications
Volume 4, Issue 1
January 2023
Pages 157-172

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History

  • Receive Date: 10 January 2024
  • Revise Date: 13 April 2024
  • Accept Date: 07 May 2024

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