Table 3. Losses in D-efficiency (in bold) in per cent with respect to the FGM copula ().
Frank | Clayton | Gumbel | ||||
---|---|---|---|---|---|---|
τ | D-eff | D-eff | D-eff | |||
1.00 | 0.01 | 0.24 | 2.42 | 1.12 | 0.87 | |
5.00 | 0.36 | 1.68 | 1.13 | 1.84 | 0.5 | |
10.00 | 3.18 | 3.98 | 1.34 | 3.00 | 2.84 | |
15.00 | 5.63 | 6.42 | 5.54 | 4.21 | 5.13 | |
20.00 | 6.24 | 8.89 | 13.94 | 5.45 | 6.12 |