Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/27448
Título: | Nonparametric estimation of the tail-dependence coefficient |
Autor(es): | Ferreira, Marta Susana |
Palavras-chave: | Extreme value theory Stable tail dependence function Tail-dependence coefficient |
Data: | 2013 |
Editora: | Instituto Nacional de Estatística (INE) |
Revista: | REVSTAT: Statistical Journal |
Resumo(s): | 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 as robustness will be assessed through simulation. Although it has a good performance, it is sensitive to the extreme value dependence assumption. We shall see that a block maxima procedure might improve the estimation. This will be illustrated through simulation. An application to financial data shall be presented at the end. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/27448 |
ISSN: | 1645-6726 |
Versão da editora: | http://www.ine.pt/revstat/pdf/rs130101.pdf |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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rs-tdc2.pdf | Documento principal | 310,96 kB | Adobe PDF | Ver/Abrir |