Table 3 Bias and RMSE of ELCM, CM and... | Emerald Publishing

Table 3

Bias and RMSE of ELCM, CM and PML estimators of two-parameter transformed gumbel copula

	τ = 0.01				τ = 0.5				τ = 0.8
	α = 0.1		β = 1.059		α = 0.5		β = 1.6		α = 0.9		β = 3.45
	Bias	RMSE	Bias	RMSE	Bias	RMSE	Bias	RMSE	Bias	RMSE	Bias	RMSE
n = 50
ELCM	0.049	0.093	0.028	0.137	0.031	0.101	0.031	0.229	0.039	0.109	0.088	0.356
CM	−0.075	0.224	0.042	0.121	−0.078	0.452	0.061	0.326	−0.061	0.742	−0.251	1.051
PML	−0.059	0.098	−0.324	0.333	0.060	0.299	−0.273	0.482	−0.052	0.525	0.241	1.011
n = 100
ELCM	0.023	0.087	0.021	0.103	0.021	0.077	0.029	0.111	0.031	0.073	0.016	0.299
CM	−0.035	0.234	−0.010	0.130	−0.025	0.494	0.014	0.353	−0.022	0.721	0.197	0.881
PML	−0.049	0.051	−0.466	0.470	−0.061	0.231	−0.327	0.433	0.014	0.300	0.319	0.731
n = 200
ELCM	0.011	0.057	0.015	0.064	0.013	0.045	0.013	0.099	0.017	0.069	0.027	0.109
CM	−0.020	0.121	0.011	0.100	0.029	0.367	−0.015	0.257	−0.025	0.551	0.155	0.704
PML	−0.041	0.038	−0.282	0.285	−0.081	0.164	−0.304	0.469	−0.022	0.157	−0.018	0.227
n = 500
ELCM	0.005	0.037	0.007	0.044	0.009	0.031	0.009	0.091	0.011	0.010	0.012	0.101
CM	−0.010	0.102	0.008	0.046	−0.014	0.233	0.011	0.120	−0.011	0.301	−0.063	0.423
PML	−0.040	0.061	−0.203	0.210	−0.046	0.100	−0.302	0.225	−0.019	0.244	0.028	0.200

	τ = 0.01				τ = 0.5				τ = 0.8
	α = 0.1		β = 1.059		α = 0.5		β = 1.6		α = 0.9		β = 3.45
	Bias	RMSE	Bias	RMSE	Bias	RMSE	Bias	RMSE	Bias	RMSE	Bias	RMSE
n = 50
ELCM	0.049	0.093	0.028	0.137	0.031	0.101	0.031	0.229	0.039	0.109	0.088	0.356
CM	−0.075	0.224	0.042	0.121	−0.078	0.452	0.061	0.326	−0.061	0.742	−0.251	1.051
PML	−0.059	0.098	−0.324	0.333	0.060	0.299	−0.273	0.482	−0.052	0.525	0.241	1.011
n = 100
ELCM	0.023	0.087	0.021	0.103	0.021	0.077	0.029	0.111	0.031	0.073	0.016	0.299
CM	−0.035	0.234	−0.010	0.130	−0.025	0.494	0.014	0.353	−0.022	0.721	0.197	0.881
PML	−0.049	0.051	−0.466	0.470	−0.061	0.231	−0.327	0.433	0.014	0.300	0.319	0.731
n = 200
ELCM	0.011	0.057	0.015	0.064	0.013	0.045	0.013	0.099	0.017	0.069	0.027	0.109
CM	−0.020	0.121	0.011	0.100	0.029	0.367	−0.015	0.257	−0.025	0.551	0.155	0.704
PML	−0.041	0.038	−0.282	0.285	−0.081	0.164	−0.304	0.469	−0.022	0.157	−0.018	0.227
n = 500
ELCM	0.005	0.037	0.007	0.044	0.009	0.031	0.009	0.091	0.011	0.010	0.012	0.101
CM	−0.010	0.102	0.008	0.046	−0.014	0.233	0.011	0.120	−0.011	0.301	−0.063	0.423
PML	−0.040	0.061	−0.203	0.210	−0.046	0.100	−0.302	0.225	−0.019	0.244	0.028	0.200