Non-parametric Estimation of Tail Dependence

DOI10.1111/j.1467-9469.2005.00483.xzbMath1124.62016OpenAlexW2045790273MaRDI QIDQ3411077

Publication date: 8 December 2006

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2005.00483.x

zbMATH Keywords

asymptotic normality confidence interval tail copula order-rank statistics Pareto copula

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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