An estimator of the stable tail dependence function based on the empirical beta copula
Methodology
2017-09-13 v1
Abstract
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but superior finite-sample performance. The link of the new estimator with the empirical beta copula enables a simple but effective resampling scheme.
Keywords
Cite
@article{arxiv.1709.03794,
title = {An estimator of the stable tail dependence function based on the empirical beta copula},
author = {Anna Kiriliouk and Johan Segers and Laleh Tafakori},
journal= {arXiv preprint arXiv:1709.03794},
year = {2017}
}
Comments
18 pages