Title of article :
Estimating the tail-dependence coefficient: Properties and pitfalls
Author/Authors :
Frahm، نويسنده , , Gabriel and Junker، نويسنده , , Markus and Schmidt، نويسنده , , Rafael، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2005
Pages :
21
From page :
80
To page :
100
Abstract :
The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators.
Keywords :
Tail dependence , Tail-dependence coefficient , Copula , Estimation , SIMULATION , Extreme value theory
Journal title :
Insurance Mathematics and Economics
Serial Year :
2005
Journal title :
Insurance Mathematics and Economics
Record number :
1542936
Link To Document :
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