An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence

Figure 1

Sample path of estimator 𝜆^LOG (a) and estimator 𝜆^SEC (b), plotted against 𝑘/𝑛, 1≤𝑘<𝑛, considering 𝑛=1000 realizations of a bivariate Student 𝑡. The horizontal lines correspond to the true values.

(a)

(b)