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An estimator of the stable tail dependence function based on the empirical beta copula

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  • Kiriliouk, Anna
  • Segers, Johan
  • Tafakori, Laleh

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  • Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2017. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2017028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2017028
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    References listed on IDEAS

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    1. Segers, Johan & Sibuya, Masaaki & Tsukahara, Hideatsu, 2017. "The empirical beta copula," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 35-51.
    2. Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non‐parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335, June.
    3. Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Other publications TiSEM 27508aa0-9825-4d9e-b1f4-1, Tilburg University, School of Economics and Management.
    4. Bucher, Axel & Segers, Johan & Volgushev, Stanislav, 2014. "When uniform weak convergence fails: empirical processes for dependence functions via epi- and hypographs," LIDAM Reprints ISBA 2014018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Berghaus, Betina & Segers, Johan, 2017. "Weak convergence of the weighted empirical beta copula process," LIDAM Discussion Papers ISBA 2017015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Einmahl, J.H.J. & de Haan, L.F.M. & Li, D., 2006. "Weighted approximations of tail copula processes with applications to testing the bivariate extreme value condition," Other publications TiSEM 18b65ac3-ba79-4bff-ad53-2, Tilburg University, School of Economics and Management.
    7. Joe, Harry, 1990. "Families of min-stable multivariate exponential and multivariate extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 9(1), pages 75-81, January.
    8. Marc G. Genton & Yanyuan Ma & Huiyan Sang, 2011. "On the likelihood function of Gaussian max-stable processes," Biometrika, Biometrika Trust, vol. 98(2), pages 481-488.
    9. Sancetta, Alessio & Satchell, Stephen, 2004. "The Bernstein Copula And Its Applications To Modeling And Approximations Of Multivariate Distributions," Econometric Theory, Cambridge University Press, vol. 20(3), pages 535-562, June.
    10. Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
    11. Kiriliouk, Anna, 2017. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space with application to generalized max-linear models," LIDAM Discussion Papers ISBA 2017027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Segers, Johan & Sibuya, Masaaki & Tsukahara, Hideatsu, 2017. "The empirical beta copula," LIDAM Reprints ISBA 2017005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Beirlant, Jan & Escobar-Bach, Mikael & Goegebeur, Yuri & Guillou, Armelle, 2016. "Bias-corrected estimation of stable tail dependence function," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 453-466.
    14. Kojadinovic, Ivan & Yan, Jun, 2010. "Modeling Multivariate Distributions with Continuous Margins Using the copula R Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 34(i09).
    15. Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
    16. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
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    Cited by:

    1. Kiriliouk, Anna, 2017. "Hypothesis testing for tail dependence parameters on the boundary of the parameter space with application to generalized max-linear models," LIDAM Discussion Papers ISBA 2017027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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