Open AccessA New Extreme Value Model with Different Copula, Statistical Properties and Applications
Author(s) -
Hanaa Elgohari,
Haitham M. Yousof
Publication year - 2021
Publication title -
pakistan journal of statistics and operation research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.354
H-Index - 15
eISSN - 2220-5810
pISSN - 1816-2711
DOI - 10.18187/pjsor.v17i4.3471
Subject(s) - copula (linguistics) , bivariate analysis , mathematics , extreme value theory , multivariate statistics , maximum likelihood , multivariate normal distribution , statistics , econometrics
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.