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

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 wit...

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Veröffentlicht in:Extremes (Boston) 2018-12, Vol.21 (4), p.581-600
Hauptverfasser: Kiriliouk, Anna, Segers, Johan, Tafakori, Laleh
Format: Artikel
Sprache:eng
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Zusammenfassung: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.
ISSN:1386-1999
1572-915X
DOI:10.1007/s10687-018-0315-y