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Bias-corrected estimation of stable tail dependence function

Abstract : We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.
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https://hal.archives-ouvertes.fr/hal-01115538
Contributor : Armelle Guillou <>
Submitted on : Wednesday, February 11, 2015 - 11:47:41 AM
Last modification on : Friday, August 23, 2019 - 3:20:03 PM
Document(s) archivé(s) le : Thursday, May 28, 2015 - 9:56:30 AM

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  • HAL Id : hal-01115538, version 1

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Jan Beirlant, Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou. Bias-corrected estimation of stable tail dependence function. 2015. ⟨hal-01115538⟩

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