A method of moments estimator of tail dependence
Einmahl, John H.J. ; Krajina, Andrea ; Segers, Johan
Bernoulli, Tome 14 (2008) no. 1, p. 1003-1026 / Harvested from Project Euclid
In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a semi-parametric model in which the stable tail dependence function is parametrically modeled. Given a random sample from a bivariate distribution function, the problem is to estimate the unknown parameter. A method of moments estimator is proposed where a certain integral of a nonparametric, rank-based estimator of the stable tail dependence function is matched with the corresponding parametric version. Under very weak conditions, the estimator is shown to be consistent and asymptotically normal. Moreover, a comparison between the parametric and nonparametric estimators leads to a goodness-of-fit test for the semiparametric model. The performance of the estimator is illustrated for a discrete spectral measure that arises in a factor-type model and for which likelihood-based methods break down. A second example is that of a family of stable tail dependence functions of certain meta-elliptical distributions.
Publié le : 2008-11-15
Classification:  asymptotic properties,  confidence regions,  goodness-of-fit test,  meta-elliptical distribution,  method of moments,  multivariate extremes,  tail dependence
@article{1225980569,
     author = {Einmahl, John H.J. and Krajina, Andrea and Segers, Johan},
     title = {A method of moments estimator of tail dependence},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 1003-1026},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1225980569}
}
Einmahl, John H.J.; Krajina, Andrea; Segers, Johan. A method of moments estimator of tail dependence. Bernoulli, Tome 14 (2008) no. 1, pp.  1003-1026. http://gdmltest.u-ga.fr/item/1225980569/