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151 results on '"Guillou, Armelle"'

151. Bias-corrected estimation of stable tail dependence function.

Author

Beirlant, Jan, Escobar-Bach, Mikael, Goegebeur, Yuri, and Guillou, Armelle

Subjects
*MATHEMATICAL functions, *MATHEMATICAL analysis, *STATISTICAL bias, *STATISTICS, *QUANTITATIVE research
Abstract

We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided. [ABSTRACT FROM AUTHOR]

Published
2016
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