Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate tail dependence. For those problems when assessing the maximal strength of dependence is important (e.g., co-movements of financial instruments), the maximal tail dependence index was introduced, but it has so far lacked empirical estimators and statistical inference results, thus hindering its practical use. In the present paper, we suggest an empirical estimator for the index, explore its statistical properties, and illustrate its performance on simulated data.

在文献中已经提出了几种基于对角线的尾巴依赖指数来量化尾巴依赖。他们拥有完善的统计推​​断理论，但往往低估了尾部相关性。对于那些在评估最大依赖强度时很重要的问题（例如，金融工具的共同移动），引入了最大尾部依赖指数，但是到目前为止，它缺乏经验估计量和统计推断结果，因此妨碍了其实际使用。在本文中，我们建议为该指数提供经验估计量，探索其统计属性，并说明其在模拟数据上的性能。