Research Article
An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence
Table 1
Absolute bias and root mean squared error (rmse) of estimator
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| | | | | | abs. bias (rmse) | abs. bias (rmse) | abs. bias (rmse) |
| | | | | Normal () | 0.1920 (0.2187) | 0.1573 (0.1709) | 0.1363 (0.1447) | Normal () | 0.5347 (0.5444) | 0.4860 (0.4915) | 0.4572 (0.4610) | Student t () | 0.0098 (0.1262) | 0.0022 (0.0875) | 0.0048 (0.0666) | Student t () | 0.0057 (0.1091) | 0.0016 (0.0773) | 0.0037 (0.0601) | Logistic | 0.4439 (0.4596) | 0.0069 (0.0905) | 0.0008 (0.0646) | A. Logistic | 0.0007 (0.1254) | 0.0057 (0.0921) | 0.0001 (0.0701) | Morgenstern | 0.0542 (0.0770) | 0.0302 (0.0421) | 0.0213 (0.0287) | | | | | Normal () | 0.2055 (0.2298) | 0.1650 (0.1772) | 0.1471 (0.1541) | Normal () | 0.5418 (0.5510) | 0.4895 (0.4946) | 0.4655 (0.4688) | Student t () | 0.0057 (0.1203) | 0.0015 (0.0837) | 0.0027 (0.0616) | Studentt () | 0.0049 (0.1096) | 0.0032 (0.0735) | 0.0047 (0.0549) | Logistic | 0.0067 (0.1153) | 0.0076 (0.0878) | 0.0010 (0.0596) | A. Logistic | 0.0043 (0.1220) | 0.0045 (0.0888) | 0.0021 (0.0646) | Morgenstern | 0.0614 (0.0841) | 0.0334 (0.0448) | 0.0256 (0.0322) | | | | | Normal () | 0.2148 (0.2364) | 0.1808 (0.1904) | 0.1650 (0.1701) | Normal () | 0.5461 (0.5552) | 0.4997 (0.5038) | 0.4828 (0.4852) | Student t () | 0.0043 (0.1158) | 0.0006 (0.0750) | 0.0001 (0.0542) | Student t () | 0.0089 (0.1057) | 0.0062 (0.0660) | 0.0061 (0.0476) | Logistic | 0.0081 (0.1097) | 0.0101 (0.0803) | 0.0044 (0.0518) | A. Logistic | 0.0054 (0.1170) | 0.0004 (0.0798) | 0.0056 (0.0566) | Morgenstern | 0.0683 (0.0898) | 0.0414 (0.0513) | 0.0338 (0.0391) | | | | | Normal () | 0.2234 (0.2428) | 0.1939 (0.2017) | 0.1810 (0.1849) | Normal () | 0.5515 (0.5598) | 0.5101 (0.5134) | 0.4989 (0.5006) | Student t () | 0.0031 (0.1117) | 0.0023 (0.0682) | 0.0018 (0.0480) | Student t () | 0.0118 (0.1019) | 0.0089 (0.0608) | 0.0078 (0.0426) | Logistic | 0.4500 (0.4621) | 0.0124 (0.0738) | 0.0076 (0.0463) | A. Logistic | 0.0072 (0.1121) | 0.0034 (0.0730) | 0.0088 (0.0510) | Morgenstern | 0.0749 (0.0952) | 0.0495 (0.0580) | 0.0420 (0.0462) |
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