Affiliation:
1. 1Institute of Mathematics, University of Warsaw, Poland
Abstract
AbstractThe paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a generator being an increasing convex function.We provide a nonparametric, piece-wise linear estimator of such generators.
Subject
Applied Mathematics,Modelling and Simulation,Statistics and Probability
Reference23 articles.
1. editors Copula Theory its Applications;Jaworski,2010
2. Copula convergence theorems for tail events Insurance;Juri;Math,2002
3. Truncation invariant copulas and a testing procedure;Di Lascio;Stat Comput,2016
4. Limiting dependence structures for tail events with applications to credit derivatives;Charpentier;Appl Probab,2006
5. Joe Multivariate Models Dependence Concepts;Chapman,1997
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献