Trimmed L-moments For Estimation Multi-parameter Archimedean Copulas

Abstract

Trimmed L-moments, were introduced by Elamir and Seheult(2003) to proposed a new estimation method for multi-parameter distributions when the mean doesn't exist or for heavy tailed distribution where the L-moments method which proposed by Hosking (1990) is not valid because the absence of theoretical L-moments. In this paper a new estimation method based on trimmed L-moments of multi-parameter copulas is proposed with a simulation study. The consistency and the asymptotic normality of the new estimator also established.