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Estimation of the coefficient of tail dependence in bivariate extremes

L. Peng

Statistics & Probability Letters, 1999, vol. 43, issue 4, 399-409

Abstract: In this paper we shall give an alternative derivation of the coefficient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169-187] and propose a consistent estimator, which is asymptotically normal.

Keywords: Extreme; value; theory; Bivariate; extremes; Coefficient; of; tail; dependence; Regular; variation (search for similar items in EconPapers)
Date: 1999
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Handle: RePEc:eee:stapro:v:43:y:1999:i:4:p:399-409