MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR

DOI10.1017/asb.2013.13zbMath1284.91592OpenAlexW2321471855MaRDI QIDQ5398351

Tilo Nguyen, Gennady Samorodnitsky

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/6ee8c53b9a60b30f40b03a6816587d989824e318

zbMATH Keywords

spectral measureextremesCoVaRtail estimationtail regiontail measure

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Beta kernel estimators for density functions
• Estimating a multidimensional extreme-value distribution
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Tail inference: where does the tail begin?
• Selecting the optimal sample fraction in univariate extreme value estimation
• Statistics for near independence in multivariate extreme values
• Estimating the limit distribution of multivariate extremes
• Heavy-Tail Phenomena
• Using a bootstrap method to choose the sample fraction in tail index estimation

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