A PRACTICAL WAY FOR ESTIMATING TAIL DEPENDENCE FUNCTIONS

作者：Peng Liang^*

来源：Statistica Sinica, 2010, 20(1): 365-378.

• Bivariate extremes
• bootstrap
• tail dependence
• threshold

Estimating tail dependence functions is important for applications of multivariate extreme value theory, and only a fraction of the upper order statistics are Involved in the estimation How to choose the sample fraction or threshold is of importance in practice Motivated by the recent methodologies oil threshold selection for a tail index in Guillou and Hall (2001) and Peng (2009a), we apply the idea in Peng (2009a) to obtain a data-driven method for choosing the threshold in estimating a tail dependence function Further we propose a simple bias-reduction estimator, and the combination of the bias-reduction estimation with the threshold selection procedure gives a satisfactory way of estimating a tail dependence function This is supported by I simulation study Moreover, a sub-sample boot-strap method is proposed to construct a confidence Interval for a tail dependence function

• 出版日期2010-1