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stat.ME2025
Non-Parametric Estimation Techniques of Factor Copula Model using Proxies
Bahareh Ghanbari, Pavel Krupskiy, Laleh Tafakori +1
Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, ac…
stat.ME2017
An estimator of the stable tail dependence function based on the empirical beta copula
Anna Kiriliouk, Johan Segers, Laleh Tafakori
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 l…