Some comments on the estimation of a dependence index in bivariate extreme value statistics.

DOI10.1016/S0167-7152(02)00281-XzbMath1092.62544MaRDI QIDQ1871336

Jan Beirlant, B. Vandewalle

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

regression modelExponentialBivariate extreme value statisticsCoefficient of tail dependence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistics of extreme values; tail inference (62G32)

Related Items (7)

Robust and bias-corrected estimation of the probability of extreme failure sets ⋮ Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Modeling of censored bivariate extremal events ⋮ Bias-corrected and robust estimation of the bivariate stable tail dependence function ⋮ Hidden regular variation and the rank transform ⋮ Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence ⋮ Robust and bias-corrected estimation of the coefficient of tail dependence

Cites Work

• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• A general class of estimators of the extreme value index
• Tail index estimation and an exponential regression model
• Bivariate tail estimation: dependence in asymptotic independence
• Statistics for near independence in multivariate extreme values
• On Smooth Statistical Tail Functionals
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