Bias-corrected estimation of stable tail dependence function

Bias-corrected estimation of stable tail dependence function

We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a compar...

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Veröffentlicht in:Journal of multivariate analysis 2016-01, Vol.143, p.453-466
Hauptverfasser: Beirlant, Jan, Escobar-Bach, Mikael, Goegebeur, Yuri, Guillou, Armelle
Format: Artikel
Sprache:eng
Schlagworte:
Asymptotic methods
Bias correction
Estimating techniques
Mathematical functions
Mathematics
Multivariate extreme value statistics
Simulation
Stable tail dependence function
Statistics
Studies
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Beschreibung
Zusammenfassung:We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.
ISSN:0047-259X
1095-7243
DOI:10.1016/j.jmva.2015.10.006