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Robust Estimation of Bivariate Tail Dependence Coefficient

The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual maximum likelihood based or the moment type estimators of tail dependence coefficient are highly sensitive to the presence of outlying observations in data. This paper proposes some alternative robust estimators obtained by minimizing the density power divergence with suitable model assumptions; their robustness properties are examined through the classical influence function analysis. The performance of the proposed estimators is illustrated through an extensive empirical study considering several important bivariate extreme value distributions.