Smoothed jackknife empirical likelihood method for tail copulas

• Autores: Liang Peng, Yongcheng Qi
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 19, Nº. 3, 2010, págs. 514-536
• Idioma: inglés
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• Resumen

  • In this paper we propose a smoothed jackknife empirical likelihood method to construct confidence intervals for tail copulas or tail dependence functions for bivariate extremes. By applying the standard empirical likelihood method for a mean to the smoothed jackknife sample, the empirical likelihood ratio statistic can be calculated by simply solving a single equation. Therefore, this procedure is easy to implement. The Wilks’ theorem for the empirical likelihood ratio statistic is proved, and a simulation study prefers the proposed method to the bootstrap method.