Local robust estimation of the Pickands dependence function

DOI10.1214/17-AOS1640zbMath1408.62095OpenAlexW2460442175MaRDI QIDQ1991678

Mikael Escobar-Bach, Armelle Guillou, Yuri Goegebeur

Publication date: 30 October 2018

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1536307234

zbMATH Keywords

robustnessstochastic convergenceconditional Pickands dependence function

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to environmental and related topics (62P12) 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

Conditional marginal expected shortfall ⋮ Extreme value estimation of the conditional risk premium in reinsurance ⋮ Bias correction in conditional multivariate extremes ⋮ Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Robust estimation of the Pickands dependence function under random right censoring ⋮ 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 ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Statistical inference on a changing extreme value dependence structure ⋮ Local robust estimation of Pareto-type tails with random right censoring ⋮ Nonparametric estimation of conditional marginal excess moments

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