A comparison of dependence function estimators in multivariate extremes

DOI10.1007/s11222-017-9745-7zbMath1384.62163OpenAlexW2613161654MaRDI QIDQ1703851

Raphaël Huser, Sabrina Vettori, Marc G. Genton

Publication date: 7 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/623662

zbMATH Keywords

copulaconvexitygreatest convex minorantmultivariatePickands dependence functionextreme valuecomponentwise maximaasymmetric logistic modelnonparametric and parametric estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Generalized linear models (logistic models) (62J12) Statistics of extreme values; tail inference (62G32)

Related Items

Inference for asymptotically independent samples of extremes, Asymmetric tail dependence modeling, with application to cryptocurrency market data, Reweighted madogram-type estimator of Pickands dependence function, Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines, Unnamed Item, Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

Uses Software

• copula
• copula

Cites Work

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