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Pré-Publication, Document De Travail Année : 2014

Nonparametric estimation of the conditional tail copula

Résumé

The tail copula is widely used to describe the amount of extremal dependence of a multivariate distribution. In some situations such as risk management, the dependence structure can be linked with some covariate. The tail copula thus depends on this covariate and is referred to as the conditional tail copula. The aim of this paper is to propose a nonparametric estimator of the conditional tail copula and to establish its asymptotic normality. Some illustrations are presented both on simulated and real datasets.
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Dates et versions

hal-00964514 , version 1 (24-03-2014)
hal-00964514 , version 2 (16-09-2014)
hal-00964514 , version 3 (20-01-2015)

Identifiants

  • HAL Id : hal-00964514 , version 2

Citer

Laurent Gardes, Stéphane Girard. Nonparametric estimation of the conditional tail copula. 2014. ⟨hal-00964514v2⟩
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