Tail dependence estimation based on smooth estimation of diagonal section
No Thumbnail Available
Date
2022
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Ankara Üniversitesi
Abstract
This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19]. Hence, we propose a flexible method for estimating tail dependence coefficients based on the new smooth estimation of the diagonal section based on the Bernstein polynomial approximation. To assess the performance of the new estimators we conduct the Monte-Carlo simulation study. As a result of the simulation study, both estimators perform satisfactory performance. Also, the estimation methods are illustrated by real data examples.
Description
Keywords
Copula, tail dependence, Bernstein polynomial, diagonal section