An estimator of the stable tail dependence function based on the empirical beta copula
(2017)
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ISBADP2017_28_Segers_Anestimatorofthestabletaildependencefunctionbasedontheempiricalbetacopula_dial.pdf
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- 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.
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Citations
Kiriliouk, A., Segers, J., & Tafakori, L. (2017). An estimator of the stable tail dependence function based on the empirical beta copula (ISBA Discussion Paper 2017/28). https://hdl.handle.net/2078.5/176169