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  • Search: subject:"small sample properties of estimators"
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Copula 1 consistency of estimators 1 empirical copula process 1 lower tail dependence 1 non-parametric estimation 1 small sample properties of estimators 1
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Dobric, Jadran 1 Schmid, Friedrich 1
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Journal of Applied Statistics 1
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Nonparametric estimation of the lower tail dependence λL in bivariate copulas
Dobric, Jadran; Schmid, Friedrich - In: Journal of Applied Statistics 32 (2005) 4, pp. 387-407
The lower tail dependence λL is a measure that characterizes the tendency of extreme co-movements in the lower tails of a bivariate distribution. It is invariant with respect to strictly increasing transformations of the marginal distribution and is therefore a function of the copula of the...
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