A continuous updating weighted least squares estimator of tail dependence in high dimensions

DOI10.1007/s10687-017-0303-7zbMath1402.62088arXiv1601.04826OpenAlexW2302042569MaRDI QIDQ125412

John H. J. Einmahl, Anna Kiriliouk, Johan Segers, John H. J. Einmahl, Johan Segers, Anna Kiriliouk

Publication date: 31 August 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.04826

zbMATH Keywords

multivariate extremesBrown-Resnick processextremal coefficientstable tail dependence functionmax-linear model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (16)

An estimator of the stable tail dependence function based on the empirical beta copula ⋮ Max-linear models in random environment ⋮ Estimating an extreme Bayesian network via scalings ⋮ \(k\)-means clustering of extremes ⋮ A modeler's guide to extreme value software ⋮ Inference for Archimax copulas ⋮ Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables ⋮ Recursive max-linear models with propagating noise ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ Exploration and inference in spatial extremes using empirical basis functions ⋮ Empirical tail copulas for functional data ⋮ tailDepFun ⋮ Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes ⋮ Semiparametric estimation for isotropic max-stable space-time processes ⋮ One- versus multi-component regular variation and extremes of Markov trees

Uses Software

• R
• copula
• SpatialExtremes
• copula
• tailDepFun

Cites Work

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