Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145314 | Journal of Multivariate Analysis | 2016 | 14 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Jan Beirlant, Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou,