Title: Robust nonparametric estimation of the conditionaltail dependence coefficient
Authors: Armelle Guillou - Strasbourg (France) [presenting]
Yuri Goegebeur - University of Southern Denmark (Denmark)
Nguyen Khanh Le Ho - University of Southern Denmark (Denmark)
Jing Qin - University of Southern Denmark (Denmark)
Abstract: Robust and nonparametric estimation of the coefficient of tail dependence is considered in presence of random covariates. The estimator is obtained by fitting the extended Pareto distribution locally to properly transformed bivariate observations using the minimum density power divergence criterion. We establish convergence in probability and asymptotic normality of the proposed estimator under some regularity conditions. The finite sample performance is evaluated with a small simulation experiment, and the practical applicability of the method is illustrated on a real dataset of air pollution measurements.