2018-03-22
An estimator of the stable tail dependence function based on the empirical beta copula
Publication
Publication
Extremes: statistical theory and applications in science, engineering and economics p. 1- 20
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.
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doi.org/10.1007/s10687-018-0315-y, hdl.handle.net/1765/105450 | |
Extremes: statistical theory and applications in science, engineering and economics | |
Organisation | Department of Econometrics |
Kiriliouk, A., Segers, J. (Johan), & Tafakori, L. (Laleh). (2018). An estimator of the stable tail dependence function based on the empirical beta copula. Extremes: statistical theory and applications in science, engineering and economics, 1–20. doi:10.1007/s10687-018-0315-y |