Tail dependence coefficient of generalized hyperbolic distribution
نویسندگان
چکیده
منابع مشابه
Nonparametric Estimation of the Tail-dependence Coefficient
• A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal distribution functions. The finite-sample behavior as well as robustness will be assessed through simulation. Although it has a good performance, it is s...
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ژورنال
عنوان ژورنال: Journal of Statistical Theory and Applications
سال: 2017
ISSN: 1538-7887
DOI: 10.2991/jsta.2017.16.3.9