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Estimating the tail-dependence coefficient: properties and pitfalls. (English) Zbl 1101.62012
Summary: The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators.

MSC:
62F10 Point estimation
62G05 Nonparametric estimation
62G32 Statistics of extreme values; tail inference
65C60 Computational problems in statistics (MSC2010)
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