Robust and bias-corrected estimation of the coefficient of tail dependence

Christophe Dutang (1) , Yuri Goegebeur (2) , Armelle Guillou (3)

1 LMM - Laboratoire Manceau de Mathématiques
2 IMADA - Department of Mathematics and Computer Science [Odense]
3 IRMA - Institut de Recherche Mathématique Avancée

We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is obtained by fitting a second order model to the data by means of the minimum density power divergence criterion. The asymptotic properties of the estimator are investigated. The efficiency of our methodology is illustrated on a small simulation study and by a real dataset from the actuarial context.

Domaines: Statistiques [math.ST]

Christophe Dutang, Yuri Goegebeur, Armelle Guillou. Robust and bias-corrected estimation of the coefficient of tail dependence. Insurance: Mathematics and Economics, 2014, 57 (1), ⟨10.1016/j.insmatheco.2014.05.003⟩. ⟨hal-01311680⟩