Nonparametric kernel estimation for localtail-event correlation

DOI10.4310/SII.241023031300MaRDI QIDQ6992422zbMATH OpenFDO

Authors Ji Eun Choi, Dong Wan Shin

Publication date 28 April 2025

Published in Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

hypothesis testnonparametric estimationpredictabilitydynamic tail correlationtime varying tail dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10)

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