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

The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but superior finite-sample performance. The link of the new estimator with the empirical beta copula enables a simple but effective resampling scheme.

• metadata
• relations

Document type	Document de travail (Working Paper)
Access type	Accès libre
Publication date	2017
Language	Anglais
Collection	ISBA Discussion Paper - 2017/28
Affiliation	UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords	Bernstein polynomial ; Brown{Resnick process ; bootstrap ; copula ; empirical process ; max-linear model ; tail copula ; tail dependence ; weak convergence
Links	http://hdl.handle.net/2078.1/189492[Handle]

See also
	[boreal:196605]	An estimator of the stable tail dependence function based on the empirical beta copula