Nonparametric estimation of the tail-dependence coefficient
A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal distribution functions. The finite-sample behavior as well...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2013
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| Texto completo: | http://hdl.handle.net/1822/27448 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/27448 |