2022
DOI: 10.1007/s10463-022-00839-1
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Robust estimation of the conditional stable tail dependence function

Abstract: We propose a robust estimator of the stable tail dependence function in the case where random covariates are recorded. Under suitable assumptions, we derive the finite dimensional weak convergence of the estimator properly normalized. The performance of our estimator in terms of efficiency and robustness is illustrated through a simulation study. Our methodology is applied on a real dataset of sale prices of residential properties.

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