{"title":"基于对角截面光滑估计的尾部相关性估计","authors":"Selim Orhun Susam","doi":"10.31801/cfsuasmas.988076","DOIUrl":null,"url":null,"abstract":"This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19]. Hence, we propose a flexible method for estimating tail dependence coefficients based on the new smooth estimation of the diagonal section based on the Bernstein polynomial approximation. To assess the performance of the new estimators we conduct the Monte-Carlo simulation study. As a result of the simulation study, both estimators perform satisfactory performance. Also, the estimation methods are illustrated by real data examples.","PeriodicalId":44692,"journal":{"name":"Communications Faculty of Sciences University of Ankara-Series A1 Mathematics and Statistics","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2022-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Tail dependence estimation based on smooth estimation of diagonal section\",\"authors\":\"Selim Orhun Susam\",\"doi\":\"10.31801/cfsuasmas.988076\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19]. Hence, we propose a flexible method for estimating tail dependence coefficients based on the new smooth estimation of the diagonal section based on the Bernstein polynomial approximation. To assess the performance of the new estimators we conduct the Monte-Carlo simulation study. As a result of the simulation study, both estimators perform satisfactory performance. Also, the estimation methods are illustrated by real data examples.\",\"PeriodicalId\":44692,\"journal\":{\"name\":\"Communications Faculty of Sciences University of Ankara-Series A1 Mathematics and Statistics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2022-09-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Communications Faculty of Sciences University of Ankara-Series A1 Mathematics and Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.31801/cfsuasmas.988076\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Communications Faculty of Sciences University of Ankara-Series A1 Mathematics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.31801/cfsuasmas.988076","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATHEMATICS","Score":null,"Total":0}
Tail dependence estimation based on smooth estimation of diagonal section
This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19]. Hence, we propose a flexible method for estimating tail dependence coefficients based on the new smooth estimation of the diagonal section based on the Bernstein polynomial approximation. To assess the performance of the new estimators we conduct the Monte-Carlo simulation study. As a result of the simulation study, both estimators perform satisfactory performance. Also, the estimation methods are illustrated by real data examples.