Bias-corrected estimation of stable tail dependence function

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

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-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.

Original languageEnglish
JournalJournal of Multivariate Analysis
Issue numberC
Pages (from-to)453-466
Publication statusPublished - 2016


  • 62G05
  • 62G20
  • 62G32
  • Bias correction
  • Multivariate extreme value statistics
  • Stable tail dependence function


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