Bias-corrected estimation of stable tail dependence function

DOI10.1016/j.jmva.2015.10.006zbMath1328.62195OpenAlexW1864587709MaRDI QIDQ900828

Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou, Jan Beirlant

Publication date: 23 December 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.10.006

zbMATH Keywords

bias correctionstable tail dependence functionmultivariate extreme value statistics

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (14)

An estimator of the stable tail dependence function based on the empirical beta copula ⋮ Time-varying extreme value dependence with application to leading European stock markets ⋮ Multiple block sizes and overlapping blocks for multivariate time series extremes ⋮ Sparse representation of multivariate extremes with applications to anomaly detection ⋮ On kernel estimation of the second order rate parameter in multivariate extreme value statistics ⋮ Bias correction in conditional multivariate extremes ⋮ Bias-corrected and robust estimation of the bivariate stable tail dependence function ⋮ A crossinggram for random fields on lattices ⋮ Transform MCMC schemes for sampling intractable factor copula models ⋮ Dependent conditional tail expectation for extreme levels ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks ⋮ A continuous updating weighted least squares estimator of tail dependence in high dimensions ⋮ A horse race between the block maxima method and the peak-over-threshold approach

Uses Software

• RTDE

Cites Work

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• On Smooth Statistical Tail Functionals
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• Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence

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