Publikationer pr. år
Publikationer pr. år
Jan Beirlant, Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou*
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.
Originalsprog | Engelsk |
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Tidsskrift | Journal of Multivariate Analysis |
Vol/bind | 143 |
Udgave nummer | C |
Sider (fra-til) | 453-466 |
ISSN | 0047-259X |
DOI | |
Status | Udgivet - 2016 |
Publikation: Afhandling › Ph.d.-afhandling