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Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence

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  • YURI GOEGEBEUR
  • ARMELLE GUILLOU

Abstract

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  • Yuri Goegebeur & Armelle Guillou, 2013. "Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 174-189, March.
    • Handle: RePEc:bla:scjsta:v:40:y:2013:i:1:p:174-189
    DOI: j.1467-9469.2012.00800.x
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    File URL: http://hdl.handle.net/10.1111/j.1467-9469.2012.00800.x
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    Citations

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    Cited by:

    1. Aigner, Maximilian & Chavez-Demoulin, Valérie & Guillou, Armelle, 2022. "Measuring and comparing risks of different types," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 1-21.
    2. Chavez-Demoulin, Valérie & Guillou, Armelle, 2018. "Extreme quantile estimation for β-mixing time series and applications," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 59-74.
    3. Christophe Dutang & Yuri Goegebeur & Armelle Guillou, 2016. "Robust and Bias-Corrected Estimation of the Probability of Extreme Failure Sets," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(1), pages 52-86, February.
    4. Christophe Dutang & Yuri Goegebeur & Armelle Guillou, 2016. "Robust and bias-corrected estimation of the probability of extreme failure sets," Post-Print hal-01616187, HAL.
    5. Beirlant, Jan & Escobar-Bach, Mikael & Goegebeur, Yuri & Guillou, Armelle, 2016. "Bias-corrected estimation of stable tail dependence function," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 453-466.
    6. Mikael Escobar-Bach & Yuri Goegebeur & Armelle Guillou & Alexandre You, 2017. "Bias-corrected and robust estimation of the bivariate stable tail dependence function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 284-307, June.

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