Tail dependence estimation based on smooth estimation of diagonal section

Authors : Selim Orhun SUSAM

Pages : 650-665

Doi:10.31801/cfsuasmas.988076

View : 6 | Download : 10

Publication Date : 2022-09-30

Article Type : Research Paper

Abstract :This paper is mainly developed around the diagonal section which is strongly related to tail dependence coefficients as defined in Nelsen [19]. Hence, we propose a flexible method for estimating tail dependence coefficients based on the new smooth estimation of the diagonal section based on the Bernstein polynomial approximation. To assess the performance of the new estimators we conduct the Monte-Carlo simulation study. As a result of the simulation study, both estimators perform satisfactory performance. Also, the estimation methods are illustrated by real data examples.
Keywords : Copula, tail dependence, Bernstein polynomial, diagonal section