Non-parametric estimation of tail dependence

Scandinavian Journal of Statistics

Volumn 33, Issue 2, 2006, Pages 307-335

  Schmidt, Rafael ^a   Stadtmüller, Ulrich ^b  

^a UNIVERSITY OF COLOGNE   (Germany)

^b UNIVERSITY OF ULM   (Germany)

Author keywords

Asymptotic normality; Copula; Empirical copula; Non parametric estimation; Strong consistency; Tail copula; Tail dependence; Tail dependence coefficient

Indexed keywords

EID: 33745318081     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2005.00483.x     Document Type: Article

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