Estimation de la tail dependance à l'aide de la notion de copule

Dominique Guegan () and Sophie A. Ladoucette ()
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Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Sophie A. Ladoucette: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: We estimate the tail behavior of the copula by non-parametric methods

Keywords: Copula; Tail behaviour; estimation theory.; estimation theory (search for similar items in EconPapers)
Date: 2003
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Published in Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.289 - 292, 2003

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00201321

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