Nonparametric recursive estimation of the copula
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of the conditional tail copula
The tail copula is widely used to describe the dependence in the tail of multivariate distributions. In some situations such as risk management, the dependence structure may be linked with some covariate. The tail copula thus depends on this covariate and is referred to as the conditional tail copula. The aim of this paper is to propose a nonparametric estimator of the conditional tail copula a...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2021
ISSN: 0167-7152
DOI: 10.1016/j.spl.2020.108929