Multiplier bootstrap of tail copulas with applications

DOI10.3150/12-BEJ425zbMath1281.62124arXiv1102.0110OpenAlexW1989985699MaRDI QIDQ2435217

Axel Bücher, Dette, Holger

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.0110

zbMATH Keywords

minimum distance estimationgoodness-of-fitmultiplier bootstrapstable tail dependence functioncomparison of tail copulas

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items

Estimation of risk measures in energy portfolios using modern copula techniques ⋮ An estimator of the stable tail dependence function based on the empirical beta copula ⋮ Choice of smoothing parameter in multivariate copula-based tail coefficients ⋮ Bootstrap confidence sets under model misspecification ⋮ Measuring non-exchangeable tail dependence using tail copulas ⋮ Two-Sample Testing for Tail Copulas with an Application to Equity Indices ⋮ When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs ⋮ Nonparametric tests for constant tail dependence with an application to energy and finance ⋮ Bootstrapping Hill estimator and tail array sums for regularly varying time series ⋮ Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes ⋮ Empirical tail copulas for functional data ⋮ Specification tests in semiparametric transformation models --- a multiplier bootstrap approach ⋮ Identifying groups of variables with the potential of being large simultaneously

Uses Software

• TwoCop

Cites Work

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