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

Kiriliouk, A, Segers, J and Tafakori, L 2018, 'An estimator of the stable tail dependence function based on the empirical beta copula', Extremes, vol. 21, pp. 581-600.


Document type: Journal Article
Collection: Journal Articles

Title An estimator of the stable tail dependence function based on the empirical beta copula
Author(s) Kiriliouk, A
Segers, J
Tafakori, L
Year 2018
Journal name Extremes
Volume number 21
Start page 581
End page 600
Total pages 20
Publisher Springer
Abstract 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.
Subject Probability Theory
Statistical Theory
Applied Statistics
Keyword(s) Bernstein polynomial
Brown-Resnick process
Bootstrap
Copula
Empirical process
Max-linear model
Tail copula
Tail dependence
Weak convergence
DOI - identifier 10.1007/s10687-018-0315-y
Copyright notice © Springer Science+Business Media, LLC, part of Springer Nature 2018
ISSN 1386-1999
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