Parametric tail copula estimation and model testing

DOI10.1016/j.jmva.2007.08.003zbMath1141.62011OpenAlexW2052052930MaRDI QIDQ928859

Liang Peng, Cláudia Neves, Laurens De Haan

Publication date: 11 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.08.003

zbMATH Keywords

maximum likelihood estimationextreme valuesempirical tail copula

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items (16)

Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion ⋮ Kernel estimation of the tail index of a right-truncated Pareto-type distribution ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Multiplier bootstrap of tail copulas with applications ⋮ Statistical models and methods for dependence in insurance data ⋮ Multivariate peaks over thresholds models ⋮ An M-estimator for tail dependence in arbitrary dimensions ⋮ Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes ⋮ Polynomial Pickands functions ⋮ A method of moments estimator of tail dependence ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan ⋮ Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes ⋮ On functional records and champions ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Asymptotically distribution-free goodness-of-fit testing for tail copulas ⋮ Nonparametric estimation of the conditional tail copula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Bootstrap approximation of tail dependence function
• Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Partial derivatives and confidence intervals of bivariate tail dependence functions
• Non-parametric Estimation of Tail Dependence
• Bivariate extreme value theory: Models and estimation
• Statistics for near independence in multivariate extreme values
• Diagnostics for Dependence within Time Series Extremes
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions

This page was built for publication: Parametric tail copula estimation and model testing