Expansions of multivariate Pickands densities and testing the tail dependence

DOI10.1016/j.jmva.2008.10.012zbMath1159.62044OpenAlexW1964644850MaRDI QIDQ1012534

Rolf-Dieter Reiss, Melanie Frick

Publication date: 21 April 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.10.012

zbMATH Keywords

Pickands dependence functiontail independenceextreme value dfsgeneralized Pareto dfsuniformly most powerful Neyman-Pearson tests

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items

Limiting distributions of maxima under triangular schemes, Self-consistent estimation of conditional multivariate extreme value distributions, Measures of multivariate asymptotic dependence and their relation to spectral expansions

Cites Work

• Multivariate generalized Pareto distributions
• Testing the tail-dependence based on the radial component
• Approximate distributions of order statistics. With applications to nonparametric statistics
• On Pickands coordinates in arbitrary dimensions
• On the distribution of Pickands coordinates in bivariate EV and GP models
• On a Concept of Partial Sufficiency: L-Sufficiency
• Statistics for near independence in multivariate extreme values
• Regularly varying functions
• Dependence measures for extreme value analyses
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