Nonparametric estimation of the lower tail dependence λL in bivariate copulas
Year of publication: |
2005
|
---|---|
Authors: | Dobric, Jadran ; Schmid, Friedrich |
Published in: |
Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 32.2005, 4, p. 387-407
|
Publisher: |
Taylor & Francis Journals |
Subject: | Copula | lower tail dependence | non-parametric estimation | empirical copula process | consistency of estimators | small sample properties of estimators |
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