Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144612 | Journal of the Korean Statistical Society | 2014 | 16 Pages |
Abstract
In this paper we consider the estimation of the coefficient of tail dependence and of small tail probability under a bivariate randomly censoring mechanism. A new class of generalized moment estimators of the coefficient of tail dependence and the estimator of small tail probability are proposed, respectively. Under the bivariate Hall-type conditions, the asymptotic distributions of these estimators are established. Monte Carlo simulations are performed and the new estimators are applied to an insurance data-set.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Enkelejd Hashorva, Chengxiu Ling, Zuoxiang Peng,