Nonparametric estimation of the tail-dependence coefficient

Detalhes bibliográficos
Autor(a) principal: Ferreira, Marta Susana
Data de Publicação: 2013
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/27448
Resumo: A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal distribution functions. The finite-sample behavior as well as robustness will be assessed through simulation. Although it has a good performance, it is sensitive to the extreme value dependence assumption. We shall see that a block maxima procedure might improve the estimation. This will be illustrated through simulation. An application to financial data shall be presented at the end.
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spelling Nonparametric estimation of the tail-dependence coefficientExtreme value theoryStable tail dependence functionTail-dependence coefficientScience & TechnologyA common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal distribution functions. The finite-sample behavior as well as robustness will be assessed through simulation. Although it has a good performance, it is sensitive to the extreme value dependence assumption. We shall see that a block maxima procedure might improve the estimation. This will be illustrated through simulation. An application to financial data shall be presented at the end.Este trabalho é financiado por Fundos FEDER através do Programa Operacional Factores de Competitividade - COMPETE e por Fundos Nacionais através da FCT - Fundação para a Ciência e a Tecnologia no âmbito do projecto PEst-C/MAT/UI0013/2011.Instituto Nacional de Estatística (INE)Universidade do MinhoFerreira, Marta Susana20132013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/27448eng1645-6726http://www.ine.pt/revstat/pdf/rs130101.pdfinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T12:44:05Zoai:repositorium.sdum.uminho.pt:1822/27448Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:41:42.287123Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Nonparametric estimation of the tail-dependence coefficient
title Nonparametric estimation of the tail-dependence coefficient
spellingShingle Nonparametric estimation of the tail-dependence coefficient
Ferreira, Marta Susana
Extreme value theory
Stable tail dependence function
Tail-dependence coefficient
Science & Technology
title_short Nonparametric estimation of the tail-dependence coefficient
title_full Nonparametric estimation of the tail-dependence coefficient
title_fullStr Nonparametric estimation of the tail-dependence coefficient
title_full_unstemmed Nonparametric estimation of the tail-dependence coefficient
title_sort Nonparametric estimation of the tail-dependence coefficient
author Ferreira, Marta Susana
author_facet Ferreira, Marta Susana
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ferreira, Marta Susana
dc.subject.por.fl_str_mv Extreme value theory
Stable tail dependence function
Tail-dependence coefficient
Science & Technology
topic Extreme value theory
Stable tail dependence function
Tail-dependence coefficient
Science & Technology
description A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal distribution functions. The finite-sample behavior as well as robustness will be assessed through simulation. Although it has a good performance, it is sensitive to the extreme value dependence assumption. We shall see that a block maxima procedure might improve the estimation. This will be illustrated through simulation. An application to financial data shall be presented at the end.
publishDate 2013
dc.date.none.fl_str_mv 2013
2013-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1822/27448
url http://hdl.handle.net/1822/27448
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1645-6726
http://www.ine.pt/revstat/pdf/rs130101.pdf
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Nacional de Estatística (INE)
publisher.none.fl_str_mv Instituto Nacional de Estatística (INE)
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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