Robust bounds in multivariate extremes

DOI10.1214/17-AAP1294zbMath1390.60189arXiv1608.04214OpenAlexW2963151931MaRDI QIDQ1704149

Jevgenijs Ivanovs, Sebastian Engelke

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.04214

zbMATH Keywords

convex optimizationmodel misspecificationextremal dependencestress testPickands' functionrobust bounds

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Tail inverse regression: dimension reduction for prediction of extremes ⋮ Principal component analysis for multivariate extremes ⋮ Robust quantile estimation under bivariate extreme value models ⋮ Distributionally robust inference for extreme value-at-risk ⋮ Sparse regular variation

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