Robust nonparametric estimation of the conditional tail dependence coefficient
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DOI: 10.1016/j.jmva.2020.104607
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- Grazian, Clara & Dalla Valle, Luciana & Liseo, Brunero, 2022. "Approximate Bayesian conditional copulas," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
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Keywords
Coefficient of tail dependence; Empirical process; Local estimation; Robustness;All these keywords.
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