Interval estimation for a measure of tail dependence

DOI10.1016/J.INSMATHECO.2015.05.014MaRDI QIDQ495494zbMATHOpenAlexFDO

Authors Yanxi Hou, Liang Peng, 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

tail dependenceconditional Kendall's tauinterval estimationextreme eventsjackknife empirical likelihood

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3658755 (Why is no real title available?)
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A Class of Statistics with Asymptotically Normal Distribution
• Asymptotically unbiased estimation of the coefficient of tail dependence
• Bivariate tail estimation: dependence in asymptotic independence
• Distorted mix method for constructing copulas with tail dependence
• Empirical likelihood
• Empirical likelihood and general estimating equations
• Estimation of the coefficient of tail dependence in bivariate extremes
• Jackknife Empirical Likelihood
• Robust and bias-corrected estimation of the coefficient of tail dependence
• Smoothed jackknife empirical likelihood method for tail copulas
• Statistical models and methods for dependence in insurance data
• Statistics for near independence in multivariate extreme values
• Tails of correlation mixtures of elliptical copulas

Cited in

(6)

• Conditional quantiles and tail dependence
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Tail dependence measure for examining financial extreme co-movements
• Smoothed jackknife empirical likelihood method for tail copulas
• scientific article; zbMATH DE number 5668410 (Why is no real title available?)
• scientific article; zbMATH DE number 1538084 (Why is no real title available?)

Describes a project that uses

Uses Software

• QRM
• RTDE

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