Far East Journal of Theoretical Statistics
Volume 32, Issue 1, Pages 1 - 5
(July 2010)
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A NOTE ON A NON-PARAMETRIC TAIL DEPENDENCE ESTIMATOR
Matthias Fischer and Marco Dörflinger
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Abstract: We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Also, this tail dependence estimator results from a specific copula mixture. |
Keywords and phrases: upper tail dependence, non-parametric estimation, copula. |
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