Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/6549
Title: | Parametric tail copula estimation and model testing |
Author: | Haan, Laurens de Neves, Cláudia Peng, Liang |
Keywords: | Empirical tail copula Extreme values Maximum likelihood estimation Tail copula |
Issue Date: | Jul-2008 |
Publisher: | Elsevier |
Abstract: | Parametric models for tail copulas are being used for modeling tail dependence and maximum likelihood estimation is employed to estimate unknown parameters. However, two important questions seem unanswered in the literature: (1) What is the asymptotic distribution of the MLE and (2) how does one test the parametric model? In this paper, we answer these two questions in the case of a single parameter for ease of illustration. A simulation study is provided to investigate the finite sample performance of the proposed estimator and test. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/6549 |
DOI: | 10.1016/j.jmva.2007.08.003 |
ISSN: | 0047-259X |
Appears in Collections: | DMat - Artigos |
Files in This Item:
File | Description | Size | Format | |
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sciencedHNP.pdf | 207.37 kB | Adobe PDF |
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