A note on nonparametric estimation of bivariate tail dependence

DOI10.1515/STRM-2013-1143MaRDI QIDQ2247935zbMATH OpenOpenAlexFDO

Authors 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 variancenonparametric estimationrank-based inferencetail copulatail dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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Cited in

(15)

• A method of moments estimator of tail dependence
• Detecting changes in cross-sectional dependence in multivariate time series
• Generalized Pareto copulas: a key to multivariate extremes
• A horse race between the block maxima method and the peak-over-threshold approach
• Assessing bivariate tail non-exchangeable dependence
• Nonparametric estimation of the tail-dependence coefficient
• Non-parametric Estimation of Tail Dependence
• Nonparametric estimation of the lower tail dependence λ_Lin bivariate copulas
• A Note on Nonparametric Estimation of the CTE
• A Euclidean Likelihood Estimator for Bivariate Tail Dependence
• scientific article; zbMATH DE number 5791327 (Why is no real title available?)
• Nonparametric tests for constant tail dependence with an application to energy and finance
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• Parametric tail copula estimation and model testing

Describes a project that uses

Uses Software

• TwoCop

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