Abstract : The tail copula is widely used to describe the dependence in the tail of multivariate distributions. In some situations such as risk management, the dependence structure may be linked with some covariate. The tail copula thus depends on this covariate and is referred to as the conditional tail copula.
The aim of this paper is to propose a nonparametric estimator of the conditional tail copula and to establish its asymptotic normality. Some illustrations are presented both on simulated and real datasets.
https://hal.archives-ouvertes.fr/hal-00964514
Contributeur : Laurent Gardes
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Soumis le : mardi 20 janvier 2015 - 13:28:16
Dernière modification le : mercredi 11 avril 2018 - 01:58:49
Document(s) archivé(s) le : vendredi 11 septembre 2015 - 07:45:41
