A Method of Moments Estimator of Tail Dependence

J.H.J. Einmahl, A. Krajina, J.J.J. Segers

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Abstract

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages32
Volume2007-80
Publication statusPublished - 2007

Publication series

NameCentER Discussion Paper
Volume2007-80

Keywords

  • asymptotic properties
  • confidence regions
  • goodness-of-fit test
  • meta-elliptical distribution
  • method of moments
  • multivariate extremes
  • tail dependence.

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