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Nonparametric estimation of the tail-dependence coefficient

Bibliographic Details
Main Author: Ferreira, Marta Susana
Publication Date: 2013
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/1822/27448
Summary: 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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-11T07:03:24Zoai:repositorium.sdum.uminho.pt:1822/27448Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T16:13:53.684372Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
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:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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