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Dergiler / Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics / 2026 / Volume: 71 Issue: 3

Tail dependence estimation based on smooth estimation of diagonal section

Selim Orhun Susam(MUNZUR UNIVERSITY)0000-0001-7896-9055
Sayfa
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Yayın Tarihi
2022-09-30
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Also, the estimation methods are illustrated by real data examples.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19].
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Temel Bulgular & Veri:To assess the performance of the new estimators we conduct the Monte-Carlo simulation study.
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Sonuç & Katkı:Also, the estimation methods are illustrated by real data examples.
🔬Tür:Research Article
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Copula · tail dependence · Bernstein polynomial

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.

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Bu Makaleye Atıf Yap

Susam, S. O. (2022). Tail dependence estimation based on smooth estimation of diagonal section. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, Volume: 71 Issue: 3. https://doi.org/10.31801/cfsuasmas.988076

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Kaynakça (24)

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