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arxiv: 1709.03794 · v1 · pith:5YKF7RCZnew · submitted 2017-09-12 · 📊 stat.ME

An estimator of the stable tail dependence function based on the empirical beta copula

classification 📊 stat.ME
keywords betaempiricalestimatorcopuladependencefunctionstabletail
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The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but superior finite-sample performance. The link of the new estimator with the empirical beta copula enables a simple but effective resampling scheme.

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