A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models

An elliptical copula model is a distribution function whose copula is that of an elliptical distribution. The tail dependence function in such a bivariate model has a parametric representation with two parameters: a tail parameter and a correlation parameter. The correlation parameter can be estimated by robust methods based on the whole sample. Using the estimated correlation parameter as plug-in estimator, we then estimate the tail parameter applying a modification of the method of moments approach proposed in the paper by J.H.J. Einmahl, A. Krajina and J. Segers [Bernoulli 14(4), 2008, 1003-1026]. We show that such an estimator is consistent and asymptotically normal. Also, we derive the joint limit distribution of the estimators of the two parameters. By a simulation study, we illustrate the small sample behavior of the estimator of the tail parameter and we compare its performance to that of the estimator proposed in the paper by C. Klüppelberg, G. Kuhn and L. Peng [Scandinavian Journal of Statistics 35(4), 2008, 701-718]