Bias-corrected estimation of stable tail dependence function

Jan Beirlant, Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou*

*Kontaktforfatter

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstract

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.

OriginalsprogEngelsk
TidsskriftJournal of Multivariate Analysis
Vol/bind143
Udgave nummerC
Sider (fra-til)453-466
ISSN0047-259X
DOI
StatusUdgivet - 2016

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