摘要：In this paper, we developed an empirical evaluation of four estimation procedures for the dependence parameter of the Gumbel-Barnett copula obtained from a Gumbel type I distribution. We used the maximum likelihood, moments and Bayesian methods and studied the performance of the estimates, assuming three dependence levels and 20 different sample sizes. For each method and scenario, a simulation study was conducted with 1000 runs and the quality of the estimator was evaluated using four different criteria. A Bayesian estimator assuming a Beta(a,b) as prior distribution, showed the best performance regardless the sample size and the dependence structure.
