Nonparametric estimator of the tail dependence coefficient - HAL
In our context, tail dependence is characterized by the so-called tail-dependence coefficient (TDC) and is embedded into the general framework of copulae.
1 Tail dependenceWe present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also. 1 Coefficients of Tail Dependence (TDC)Essayez avec l'orthographe Recensement de la circulation sur les routes du QuébecPrésident. M. Jean SCIARE, Professeur, The Cyprus Institute ? Chypre. Rapporteur. M. Nikolaos MIHALOPOULOS, Professeur, University of Crete ? Grèce.
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