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Estimation of the coefficient of tail dependence in bivariate extremes

✍ Scribed by L. Peng

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 137 KB
Volume: 43
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00280-6

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✦ Synopsis

In this paper we shall give an alternative derivation of the coe cient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169 -187] and propose a consistent estimator, which is asymptotically normal.

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