Bias-corrected estimation of stable tail dependence function

详细信息    查看全文

• 作者：Jan Beirlant^a ; Mikael Escobar-Bach^b ; Yuri Goegebeur^b ; Armelle Guillou^c ; ^{armelle.guillou@math.unistra.fr" class="auth_mail" title="E-mail the corresponding author}
• 关键词：62G05 ; 62G20 ; 62G32
• 刊名：Journal of Multivariate Analysis
• 出版年：2016
• 出版时间：January 2016
• 年：2016
• 卷：143
• 期：Complete
• 页码：453-466
• 全文大小：1166 K

文摘

We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.