A New Extreme Value Model with Different Copula, Statistical Properties and Applications

Hanaa Elgohari; Haitham M. Yousof

doi:10.18187/pjsor.v17i4.3471

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A New Extreme Value Model with Different Copula, Statistical Properties and Applications

Author(s)

Hanaa Elgohari Department of Applied Statistics, Faculty of Commerce, Mansoura University, Egypt

Haitham M. Yousof Department of Statistics, Mathematics and Insurance, Benha University, Benha, Egypt

Abstract

In this article, we defined and studied a new distribution for modeling extreme value. Some of its mathematical properties are derived and analyzed. Simple types copula is employed for proposing many bivariate and multivariate type extensions. Method of the maximum likelihood estimation is employed to estimate the model parameters. Graphically, we perform the simulation experiments to assess of the finite sample behavior of the maximum likelihood estimations. Three applications are presented for measuring the flexibility of the new model is illustrated using three real data applications.

Publication Details

Page(s) 1015-1035

DOI 10.18187/pjsor.v17i4.3471

Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 17, Issue: 4, Year: 2021

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Keywords

Simulation, estimation, Renyi's entropy, Farlie Gumbel Morgenstern family, Clayton Copula, Extreme value theory, Fréchet

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