Robust nonparametric estimation of the conditional tail dependence coefficient

Yuri Goegebeur, Armelle Guillou, Nguyen Khanh Le Ho and Jing Qin

Journal of Multivariate Analysis, 2020, vol. 178, issue C

Abstract: We consider robust and nonparametric estimation of the coefficient of tail dependence in presence of random covariates. The estimator is obtained by fitting the extended Pareto distribution locally to properly transformed bivariate observations using the minimum density power divergence criterion. We establish convergence in probability and asymptotic normality of the proposed estimator under some regularity conditions. The finite sample performance is evaluated with a small simulation experiment, and the practical applicability of the method is illustrated on a real dataset of air pollution measurements.

Keywords: Coefficient of tail dependence; Empirical process; Local estimation; Robustness (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2020.104607

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