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.
Copula tail dependence Bernstein polynomial diagonal section
Birincil Dil | İngilizce |
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Konular | Uygulamalı Matematik |
Bölüm | Research Article |
Yazarlar | |
Yayımlanma Tarihi | 30 Eylül 2022 |
Gönderilme Tarihi | 28 Ağustos 2021 |
Kabul Tarihi | 27 Ocak 2022 |
Yayımlandığı Sayı | Yıl 2022 Cilt: 71 Sayı: 3 |
Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics.
This work is licensed under a Creative Commons Attribution 4.0 International License.