An estimator of the stable tail dependence function based on the empirical beta copula
arXiv:1709.03794
Abstract
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but superior finite-sample performance. The link of the new estimator with the empirical beta copula enables a simple but effective resampling scheme.
18 pages