Simulation study on copulas

Abstract

There are several theorical results about order statistics and copulas in the literature that have been mentioned also by Nelsen \cite{p20}. The present study after reviewing some of these results, relies on simulation technique to investigate the mentioned results about order statistics and copulas. The study concentrates on two well known Archimedean Gumbel and Frank families in the case that marginal functions F(k) and G(k) have different distributions.

Keywords

• Copulas
• Order statistics
• Generating random variables
• Goodness of fit test