Robust nonparametric estimation of the conditional tail dependence coefficient
نویسندگان
چکیده
منابع مشابه
Nonparametric Estimation of the Tail-dependence Coefficient
• 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 s...
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Nonparametric estimation of tail dependence can be based on a standardization of the marginals if their cumulative distribution functions are known. In this paper it is shown to be asymptotically more efficient if the additional knowledge of the marginals is ignored and estimators are based on ranks. The discrepancy between the two estimators is shown to be substantial for the popular Clayton m...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2020
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2020.104607