Arbeitspapier
Estimating tail dependence of elliptical distributions
Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this chapter we study two estimators for the tail dependence function, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second order regular variation estimates and proving asymptotic normality for both estimators, we show that the estimator based on the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic variance and optimal asymptotic mean squared error. Our theoretical results are confirmed by a simulation study.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 470
- Thema
-
asymptotic normality
elliptical distribution
regular variation
tail copula
tail dependence function
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Klüppelberg, Claudia
Kuhn, Gabriel
Peng, Liang
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (wo)
-
München
- (wann)
-
2006
- DOI
-
doi:10.5282/ubm/epub.1838
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1838-9
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Klüppelberg, Claudia
- Kuhn, Gabriel
- Peng, Liang
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Entstanden
- 2006
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