A robust test for asymptotic independence of bivariate extremes

DOI10.1080/02331888.2011.568118zbMath1440.62173OpenAlexW2056145936MaRDI QIDQ5299470

Yu-Ling Tsai, Duncan J. Murdoch, Debbie J. Dupuis

Publication date: 25 June 2013

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2011.568118

zbMATH Keywords

robustnessmultivariate extremescontaminationasymptotic independence testingshrinkage scheme

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Multivariate extreme value theory -- a tutorial

Cites Work

• Unnamed Item
• Bivariate extreme statistics. I
• Effects of mis-specification in bivariate extreme value problems
• Bivariate tail estimation: dependence in asymptotic independence
• Estimation of the coefficient of tail dependence in bivariate extremes
• Quotient correlation: a sample based alternative to Pearson's correlation
• Regular score tests of independence in multivariate extreme values
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Robust Estimation: A Weighted Maximum Likelihood Approach

This page was built for publication: A robust test for asymptotic independence of bivariate extremes