A note on nonparametric estimation of bivariate tail dependence

DOI10.1515/strm-2013-1143zbMath1418.62216MaRDI QIDQ2247935

Axel Bücher

Publication date: 30 June 2014

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/29515

zbMATH Keywords

asymptotic variance; nonparametric estimation; tail dependence; rank-based inference; tail copula

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62G32: Statistics of extreme values; tail inference

Uses Software

• TwoCop