Nonparametric confidence intervals for tail dependence based on copulas

zbMath1358.62049MaRDI QIDQ505609

Cheikh Tidiane Seck, Ba Diam, Gane Samb Lo

Publication date: 26 January 2017

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1484881313

zbMATH Keywords

confidence intervalskernel estimatorscopula functiontail dependence coefficientCAC 40 stock indexfinancial data

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Nonparametric tolerance and confidence regions (62G15)

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