Non-parametric estimators of multivariate extreme dependence functions

DOI10.1080/10485250500336379zbMath1080.62027OpenAlexW2148614324MaRDI QIDQ3369527

Kilani Ghoudi, Belkacem Abdous

Publication date: 2 February 2006

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250500336379

zbMATH Keywords

kernel estimatoroptimal bandwidth selectionconstrained splineextreme dependence functions

Mathematics Subject Classification ID

Related Items (12)

Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion ⋮ Rank-based inference for bivariate extreme-value copulas ⋮ Testing for Bivariate Extreme Dependence Using Kendall's Process ⋮ Unnamed Item ⋮ Bias-corrected and robust estimation of the bivariate stable tail dependence function ⋮ Estimating multivariate extremal dependence: a new proposal ⋮ Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition ⋮ Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation ⋮ On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence ⋮ Projection estimators of Pickands dependence functions ⋮ A bayesian estimator for the dependence function of a bivariate extreme‐value distribution ⋮ Bias correction in multivariate extremes

Uses Software

• KernSmooth

Cites Work

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