Robust and bias-corrected estimation of the probability of extreme failure sets
From MaRDI portal
Publication:288263
DOI10.1007/s13171-015-0078-3zbMath1338.62151OpenAlexW1887300810MaRDI QIDQ288263
Yuri Goegebeur, Christophe Dutang, Armelle Guillou
Publication date: 25 May 2016
Published in: Sankhyā. Series A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13171-015-0078-3
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)
Related Items
Robust nonparametric estimation of the conditional tail dependence coefficient, Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
Uses Software
Cites Work
- Unnamed Item
- Semi-parametric estimation for heavy tailed distributions
- A moment estimator for the index of an extreme-value distribution
- Estimation of a tail index based on minimum density power divergence
- Kernel estimators for the second order parameter in extreme value statistics
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Sea and wind: multivariate extremes at work
- A general class of estimators of the extreme value index
- A new class of semi-parametric estimators of the second order parameter.
- Bivariate tail estimation: dependence in asymptotic independence
- Some comments on the estimation of a dependence index in bivariate extreme value statistics.
- Bias reduction and explicit semi-parametric estimation of the tail index
- Estimation of the coefficient of tail dependence in bivariate extremes
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Bias-reduced estimators for bivariate tail modelling
- An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Limiting dependence structures for tail events, with applications to credit derivatives
- A New Class of Models for Bivariate Joint Tails
- On Smooth Statistical Tail Functionals
- Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
- Robust and efficient estimation by minimising a density power divergence
- Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence
