Tail dependence estimation based on smooth estimation of diagonal section

Year 2022, Volume: 71 Issue: 3, 650 - 665, 30.09.2022

Selim Orhun Susam

https://doi.org/10.31801/cfsuasmas.988076

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

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