Tail dependence estimation based on smooth estimation of diagonal section

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dc.contributor.authorSusam, Selim Orhun
dc.contributor.departmentOthertr_TR
dc.contributor.facultyOthertr_TR
dc.date.accessioned2022-12-28T08:05:39Z
dc.date.available2022-12-28T08:05:39Z
dc.date.issued2022
dc.description.abstractThis 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.tr_TR
dc.description.indexTrdizintr_TR
dc.identifier.endpage665tr_TR
dc.identifier.issn/e-issn1303-5991
dc.identifier.issue3tr_TR
dc.identifier.startpage650tr_TR
dc.identifier.urihttps://doi.org/10.31801/cfsuasmas.988076tr_TR
dc.identifier.urihttp://hdl.handle.net/20.500.12575/86529
dc.identifier.volume71tr_TR
dc.language.isoentr_TR
dc.publisherAnkara Üniversitesitr_TR
dc.relation.isversionof10.31801/cfsuasmas.988076tr_TR
dc.relation.journalCommunications, Series A1:Mathematics and Statisticstr_TR
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Başka Kurum Yazarıtr_TR
dc.subjectCopula, tail dependence, Bernstein polynomial, diagonal sectiontr_TR
dc.titleTail dependence estimation based on smooth estimation of diagonal sectiontr_TR
dc.typeArticletr_TR

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Cilt:71 Sayı:03 (2022)