An M-estimator for tail dependence in arbitrary dimensions

DOI10.1214/12-AOS1023zbMath1257.62058arXiv1112.0905MaRDI QIDQ693746

Johan Segers, John H. J. Einmahl, Andrea Krajina

Publication date: 10 December 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.0905

zbMATH Keywords

multivariate extremesfactor modeltail dependenceM-estimationasymptotic statistics

Mathematics Subject Classification ID

Related Items (33)

Spatial dependence and space-time trend in extreme events ⋮ An estimator of the stable tail dependence function based on the empirical beta copula ⋮ Estimating an extreme Bayesian network via scalings ⋮ Sparse representation of multivariate extremes with applications to anomaly detection ⋮ Tail dependence and smoothness of time series ⋮ \(k\)-means clustering of extremes ⋮ Extremes of multivariate ARMAX processes ⋮ Dense classes of multivariate extreme value distributions ⋮ Modeling of censored bivariate extremal events ⋮ Estimation of multivariate tail quantities ⋮ Tail dependence functions of two classes of bivariate skew distributions ⋮ Multiplier bootstrap of tail copulas with applications ⋮ Tail density estimation for exploratory data analysis using kernel methods ⋮ When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs ⋮ Upper bounds on value-at-risk for the maximum portfolio loss ⋮ CRPS M-estimation for max-stable models ⋮ Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables ⋮ Nonparametric tests for constant tail dependence with an application to energy and finance ⋮ Multivariate generalized Pareto distributions: parametrizations, representations, and properties ⋮ Multivariate peaks over thresholds models ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ On second order conditions in the multivariate block maxima and peak over threshold method ⋮ Weighted least-squares inference for multivariate copulas based on dependence coefficients ⋮ A continuous updating weighted least squares estimator of tail dependence in high dimensions ⋮ Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes ⋮ Empirical tail copulas for functional data ⋮ Identifying groups of variables with the potential of being large simultaneously ⋮ The tail dependograph ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Asymptotically distribution-free goodness-of-fit testing for tail copulas ⋮ Bias correction in multivariate extremes ⋮ Max-stable processes and the functional \(D\)-norm revisited

Uses Software

• POT

Cites Work

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• Functional central limit theorems for processes with positive drift and their inverses
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• Convergence of stochastic processes

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