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

Anna Kiriliouk, Johan Segers, Laleh Tafakori

Résultats de recherche: Contribution à un journal/une revueArticle

Résumé

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.

langue originaleAnglais
Pages (de - à)581-600
journalExtremes
Volume22
Numéro de publication4
Les DOIs
étatPublié - 1 déc. 2018
Modification externeOui

Empreinte digitale

Dependence Function
Tail Dependence
Copula
Estimator
Indicator function
Resampling
Asymptotic distribution
Replacement
kernel
Tail dependence
Integrated
Kernel
Finite sample

Citer ceci

Kiriliouk, Anna ; Segers, Johan ; Tafakori, Laleh. / An estimator of the stable tail dependence function based on the empirical beta copula. Dans: Extremes. 2018 ; Vol 22, Numéro 4. p. 581-600.
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An estimator of the stable tail dependence function based on the empirical beta copula. / Kiriliouk, Anna; Segers, Johan; Tafakori, Laleh.

Dans: Extremes, Vol 22, Numéro 4, 01.12.2018, p. 581-600.

Résultats de recherche: Contribution à un journal/une revueArticle

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