Optimal number of upper order statistics used in estimation for the coefficient of tail dependence

DOI10.16929/AS/2017.1171.98zbMath1366.62100OpenAlexW2607162769MaRDI QIDQ527123

Brahim Brahimi, Samah Betteka

Publication date: 16 May 2017

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

Full work available at URL: https://projecteuclid.org/euclid.as/1492826420

zbMATH Keywords

copulatail probabilitybias reductioncoefficient of tail dependencemoment estimatorHill estimatorextended Pareto distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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