JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2014, Vol. 49 ›› Issue (12): 49-54.doi: 10.6040/j.issn.1671-9352.0.2014.156

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Tail dependence analysis based on tail sample data

LI Shu-shan   

  1. College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao 266590, Shandong, China
  • Received:2014-04-11 Revised:2014-09-18 Online:2014-12-20 Published:2014-12-20

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Abstract: Tail dependence is the nature of the tail to the joint distribution of the two random variables. Be directed against tail dependence analysis, two concepts of order statistics for 2-dimension random vector were proposed and an idea was advanced to estimate the tail dependence coefficient by fitting Copula function using tail sample. Then the method of parameter estimation and fitting tests for the tail based on tail sample date and the corresponding estimate method for tail dependence coefficient were also discussed. A Monte Carlo simulation was given to illustrate the validity of the method given. Finally the tail dependence between the SHI and the SZI was analyzed.

Key words: order statistics in maximum(mnimum)order, fitting test at tail, copula function, tail dependence coefficient, tail sample data

CLC Number: 

  • O212
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