Qu, Xiaomei; Zhou, Jie; Shen, Xiaojing - In: Insurance: Mathematics and Economics 46 (2010) 2, pp. 406-414
Based on the relationship between Archimedean copulas and l1-norm symmetric distributions, we propose a method to not only estimate the copula parameter but also select the copula model through the observation data in this paper. The strong consistency of the estimator is proved, and a Radial...