Nonparametric Estimation of the Tail-Dependence Coefficient

Autor:	Marta Ferreira
Jazyk:	angličtina
Rok vydání:	2013
Předmět:	extreme value theory stable tail dependence function tail-dependence coefficient Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 11, Iss 1 (2013)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
DOI:	10.57805/revstat.v11i1.124
Popis:	A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal distribution functions. The finite-sample behavior as well as robustness will be assessed through simulation. Although it has a good performance, it is sensitive to the extreme value dependence assumption. We shall see that a block maxima procedure might improve the estimation. This will be illustrated through simulation. An application to financial data shall be presented at the end.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/22b05f6d6104465bbf98e1f0c62eaef0 Zobrazit plný text záznamu View record in DOAJ