Nonparametric estimator of the tail dependence coefficient: balancing bias and variance

DOI10.1007/s00362-024-01582-wMaRDI QIDQ6640112

Matthieu Garcin, Maxime L. D. Nicolas

Publication date: 18 November 2024

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

copulanonparametric estimationcensored likelihoodtail dependence coefficient

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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