Bias-corrected and robust estimation of the bivariate stable tail dependence function
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Publication:1694369
DOI10.1007/s11749-016-0511-5zbMath1382.62024OpenAlexW4300487156MaRDI QIDQ1694369
Yuri Goegebeur, Mikael Escobar-Bach, Armelle Guillou, Alexandre You
Publication date: 1 February 2018
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-016-0511-5
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32)
Related Items (4)
On kernel estimation of the second order rate parameter in multivariate extreme value statistics ⋮ Robust estimation of the Pickands dependence function under random right censoring ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Dependent conditional tail expectation for extreme levels
Uses Software
Cites Work
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