Interval estimation for a measure of tail dependence

DOI10.1016/J.INSMATHECO.2015.05.014zbMath1348.62183OpenAlexW2214741050MaRDI QIDQ495494

Liang Peng, Yanxi Hou, Ai-Ai Liu

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.05.014

zbMATH Keywords

interval estimationtail dependenceextreme eventsjackknife empirical likelihoodconditional Kendall's tau

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (1)

On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior

Uses Software

• QRM
• RTDE

Cites Work

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• Statistical models and methods for dependence in insurance data
• Smoothed jackknife empirical likelihood method for tail copulas
• Empirical likelihood and general estimating equations
• Bivariate tail estimation: dependence in asymptotic independence
• Estimation of the coefficient of tail dependence in bivariate extremes
• Tails of correlation mixtures of elliptical copulas
• Robust and bias-corrected estimation of the coefficient of tail dependence
• Distorted mix method for constructing copulas with tail dependence
• Statistics for near independence in multivariate extreme values
• Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence
• Jackknife Empirical Likelihood
• A Class of Statistics with Asymptotically Normal Distribution

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