Bias-corrected estimation of stable tail dependence function
Résumé
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.
Origine : Fichiers produits par l'(les) auteur(s)
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