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:: Volume 6, Issue 2 (2-2013) ::
JSS 2013, 6(2): 119-134 Back to browse issues page
Analyzing the Estimators of Upper Tail Dependence Measure
Mohammad Amini , Hadi Jabbari Noughabi , Mahla Ghasemnejad Farsangi *
Abstract:   (15530 Views)
In this paper, three new non-parametric estimator for upper tail dependence measure are introduced and it is shown that these estimators are consistent and asymptotically unbiased. Also these estimators are compared using the Mont Carlo simulation of three different copulas and present a new method in order to select the best estimator by applying the real data.
Keywords: Copula function, Upper tail dependence measure, Lower tail dependence measure, Estimator, Unbiasedness, Consistence, Mont Carlo simulation
Full-Text [PDF 553 kb]   (3051 Downloads)    
Type of Study: Research | Subject: Applied Statistics
Received: 2012/11/20 | Accepted: 2013/11/3 | Published: 2013/11/3
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Amini M, Jabbari Noughabi H, Ghasemnejad Farsangi M. Analyzing the Estimators of Upper Tail Dependence Measure. JSS 2013; 6 (2) :119-134
URL: http://jss.irstat.ir/article-1-157-en.html


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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 6, Issue 2 (2-2013) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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