基于对角截面光滑估计的尾部相关性估计

IF 0.7 Q2 MATHEMATICS
Selim Orhun Susam
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引用次数: 0

摘要

本文主要围绕与Nelsen[19]中定义的尾部相关系数密切相关的对角线截面展开。因此,我们提出了一种基于Bernstein多项式近似的对角截面平滑估计的尾部相关系数的灵活估计方法。为了评估新估计器的性能,我们进行了蒙特卡洛模拟研究。作为模拟研究的结果,两个估计器都表现出令人满意的性能。并以实际数据为例说明了估计方法。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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