Bivariate copulas parameters estimation using the trimmed L-moments method

Abstract

The main purpose of this paper is to use the trimmed L-moments method for the introduction of a new estimator of multi-parametric copulas in the case where the mean does not exist. The consistency and asymptotic normality of this estimator is established. An extended simulation study shows the performance of the new estimator is carried.

Keywords: Copulas; Dependence; Bivariate L-moments; Trimmed L-moments; Trimmed L-comoments