Semi-parametric estimation of multivariate extreme expectiles

DOI10.1016/j.jmva.2021.104758zbMath1467.62084OpenAlexW3153065051WikidataQ115162987 ScholiaQ115162987MaRDI QIDQ2034472

Nicholas Beck, Elena Di Bernardino, Mélina Mailhot

Publication date: 22 June 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104758

zbMATH Keywords

optimizationsemiparametric estimationextreme value theorydependencemultivariate risk measures

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Methods of quasi-Newton type (90C53) Large deviations (60F10)

Related Items (1)

Multivariate expectile-based distribution: properties, Bayesian inference, and applications

Uses Software

• L-BFGS
• LBFGS-B

Cites Work

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