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Robust nonparametric estimation of the conditional tail dependence coefficient

  • Published:2020-07 Issue: Volume:178 Page:104607
  • ISSN:0047-259X
  • Container-title:Journal of Multivariate Analysis
  • language:en
  • Short-container-title:Journal of Multivariate Analysis

Author:

Goegebeur Yuri,Guillou Armelle,Ho Nguyen Khanh Le,Qin Jing

Funder

Centre National de la Recherche Scientifique

Agence Nationale de la Recherche

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference35 articles.

1. On the tail behavior of sums of dependent risks;Barbe;Astin Bull.,2006

2. Robust and efficient estimation by minimizing a density power divergence;Basu;Biometrika,1998

3. Tail index estimation and an exponential regression model;Beirlant;Extremes,1999

4. Bias-reduced estimators for bivariate tail modelling;Beirlant;Insurance Math. Econom.,2011

5. Statistics of Extremes – Theory and Applications;Beirlant,2004

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1. Robust estimation of the conditional stable tail dependence function;Annals of the Institute of Statistical Mathematics;2022-06-28

2. Approximate Bayesian conditional copulas;Computational Statistics & Data Analysis;2022-05

3. A Correlation Evaluation Method of PV Power Output Based on ITOPSIS;Journal of Electrical Engineering & Technology;2022-04-04

4. Estimation of Copulas via Maximum Mean Discrepancy;Journal of the American Statistical Association;2022-03-31

5. Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures;Research in International Business and Finance;2021-04
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