Estimating the tail-dependence coefficient: Properties and pitfalls
The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-de...
Gespeichert in:
Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2005-08, Vol.37 (1), p.80-100 |
---|---|
Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators. |
---|---|
ISSN: | 0167-6687 1873-5959 |
DOI: | 10.1016/j.insmatheco.2005.05.008 |