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Copula April 2010 Q4

A

Attack

Keen member
Please someone help, which material can help me understand the questions in A2010 paper Q4

(iv) State the standard estimator of Kendall’s tau parameterised for this particular
case.
(v) Describe, including formulae, the use of the sampled Kendall’s tau to calibrate
a bivariate Archimedean copula with a single parameter.
 
Hi,

For (iv), the standard estimator of Kendall's tau is given in Sweeting (Section 9.5), and you have been given the vector for this case in the preamble.

The idea for (v) with a single parameter (eg Gumbel, Clayton, Frank), is there is a direct relationship between the sample value of Kendall's tau and that parameter. Therefore, if we have the value of Kendall's tau for this data, we can estimate the value of the parameter.

Alvin.
 
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