An estimator of the stable tail dependence function based on the empirical beta copula

Anna Kiriliouk, Johan Segers, Laleh Tafakori

Research output: Contribution to journalArticle

Abstract

The replacement of indicator functions by integrated beta kernels in the definition of the empirical tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but superior finite-sample performance. The link of the new estimator with the empirical beta copula enables a simple but effective resampling scheme.

Original languageEnglish
Pages (from-to)581-600
JournalExtremes
Volume22
Issue number4
DOIs
Publication statusPublished - 1 Dec 2018
Externally publishedYes

Keywords

  • Bernstein polynomial
  • Bootstrap
  • Brown–Resnick process
  • Copula
  • Empirical process
  • Max-linear model
  • Tail copula
  • Tail dependence
  • Weak convergence

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