✦ LIBER ✦

Nonparametric estimation of the lower tail dependence λ L in bivariate copulas

✍ Scribed by Dobrić, Jadran; Schmid, Friedrich

Book ID: 126978687
Publisher: Taylor and Francis Group
Year: 2005
Tongue: English
Weight: 506 KB
Volume: 32
Category: Article
ISSN: 0266-4763
DOI: 10.1080/02664760500079217

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Estimation of the coefficient of tail de

Estimation of the coefficient of tail dependence in bivariate extremes

✍ L. Peng 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 137 KB

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.

Nonparametric Estimation of the Dependen

Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

✍ Javier Rojo Jiménez; Enrique Villa-Diharce; Miguel Flores 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 288 KB

The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated. Compar