A continuous updating weighted least squares estimator of tail dependence in high dimensions (Q125412): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||||||||||||||
(10 intermediate revisions by 5 users not shown) | |||||||||||||||
Property / publication date | |||||||||||||||
3 August 2018
| |||||||||||||||
Property / publication date: 3 August 2018 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: John H. J. Einmahl / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: Anna Kiriliouk / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / author | |||||||||||||||
Property / author: Johan Segers / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / title | |||||||||||||||
A continuous updating weighted least squares estimator of tail dependence in high dimensions (English) | |||||||||||||||
Property / title: A continuous updating weighted least squares estimator of tail dependence in high dimensions (English) / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH Open document ID | |||||||||||||||
Property / zbMATH Open document ID: 1402.62088 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / full work available at URL | |||||||||||||||
Property / full work available at URL: https://arxiv.org/abs/1601.04826 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / review text | |||||||||||||||
This paper deals with a new estimator for the tail dependence function in high dimensions. Given random vectors \(X_i = \left(X_{i1},\dots,X_{id}\right) \in \mathbb R^d\) for \(1 \leq i \leq n\), their tail dependence function \(l\) is estimated by employing an initial estimator \(\widehat{l}_{n,k}\) based on the same data and then minimizing a weighted least square loss over all possible functions \(l_\theta\) in a parametric family \(\left\{l_\theta: \theta \in\Theta\right\}\). The weighting matrix is allowed to depend on \(\theta\) as well and is hence jointly estimated with \(\theta\). The authors prove consistency and asymptotic normality of their estimator under reasonable assumptions and address goodness-of-fit testing as well. The choice of the initial estimator \(\widehat{l}_{n,k}\) is discussed in detail with several common examples. Afterwards extensive simulation studies are performed showing a competitive behavior of the investigated method. An application to European stock markets is also shown. | |||||||||||||||
Property / review text: This paper deals with a new estimator for the tail dependence function in high dimensions. Given random vectors \(X_i = \left(X_{i1},\dots,X_{id}\right) \in \mathbb R^d\) for \(1 \leq i \leq n\), their tail dependence function \(l\) is estimated by employing an initial estimator \(\widehat{l}_{n,k}\) based on the same data and then minimizing a weighted least square loss over all possible functions \(l_\theta\) in a parametric family \(\left\{l_\theta: \theta \in\Theta\right\}\). The weighting matrix is allowed to depend on \(\theta\) as well and is hence jointly estimated with \(\theta\). The authors prove consistency and asymptotic normality of their estimator under reasonable assumptions and address goodness-of-fit testing as well. The choice of the initial estimator \(\widehat{l}_{n,k}\) is discussed in detail with several common examples. Afterwards extensive simulation studies are performed showing a competitive behavior of the investigated method. An application to European stock markets is also shown. / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / reviewed by | |||||||||||||||
Property / reviewed by: Frank Werner / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 62G32 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 62G05 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 62G10 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 62G20 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 60G70 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / Mathematics Subject Classification ID | |||||||||||||||
Property / Mathematics Subject Classification ID: 62P05 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH DE Number | |||||||||||||||
Property / zbMATH DE Number: 6912882 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
Brown-Resnick process | |||||||||||||||
Property / zbMATH Keywords: Brown-Resnick process / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
extremal coefficient | |||||||||||||||
Property / zbMATH Keywords: extremal coefficient / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
max-linear model | |||||||||||||||
Property / zbMATH Keywords: max-linear model / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
multivariate extremes | |||||||||||||||
Property / zbMATH Keywords: multivariate extremes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / zbMATH Keywords | |||||||||||||||
stable tail dependence function | |||||||||||||||
Property / zbMATH Keywords: stable tail dependence function / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / describes a project that uses | |||||||||||||||
Property / describes a project that uses: SpatialExtremes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / describes a project that uses | |||||||||||||||
Property / describes a project that uses: R / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / describes a project that uses | |||||||||||||||
Property / describes a project that uses: tailDepFun / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / describes a project that uses | |||||||||||||||
Property / describes a project that uses: copula / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / describes a project that uses | |||||||||||||||
Property / describes a project that uses: copula / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / MaRDI profile type | |||||||||||||||
Property / MaRDI profile type: MaRDI publication profile / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / OpenAlex ID | |||||||||||||||
Property / OpenAlex ID: W2302042569 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / arXiv ID | |||||||||||||||
Property / arXiv ID: 1601.04826 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Q5708419 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Statistics of Extremes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Bias-corrected estimation of stable tail dependence function / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Extreme value copula estimation based on block maxima of a multivariate stationary time series / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Asymptotically distribution-free goodness-of-fit testing for tail copulas / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Q4272657 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Statistical modeling of spatial extremes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: A spectral representation for max-stable processes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Q5485944 / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Spatial extremes: models for the stationary case / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Best attainable rates of convergence for estimators of the stable tail dependence function / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: An M-estimator for tail dependence in arbitrary dimensions / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: An <i>M</i>-Estimator of Spatial Tail Dependence / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Bias correction in multivariate extremes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Likelihood estimators for multivariate extremes / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Bivariate Exponential Distributions / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Composite likelihood estimation for the Brown-Resnick process / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Space–Time Modelling of Extreme Events / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Large Sample Techniques for Statistics / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Stationary max-stable fields associated to negative definite functions / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Convex geometry of max-stable distributions / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Statistical post-processing of forecasts for extremes using bivariate Brown-Resnick processes with an application to wind gusts / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: A dependence measure for multivariate and spatial extreme values: Properties and inference / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Efficient inference for spatial extreme value processes associated to log-Gaussian random functions / rank | |||||||||||||||
Normal rank | |||||||||||||||
Property / cites work | |||||||||||||||
Property / cites work: Conditional sampling for spectrally discrete max-stable random fields / rank | |||||||||||||||
Normal rank | |||||||||||||||
links / mardi / name | links / mardi / name | ||||||||||||||
Latest revision as of 06:44, 16 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A continuous updating weighted least squares estimator of tail dependence in high dimensions |
scientific article |
Statements
21
0 references
2
0 references
205-233
0 references
31 August 2017
0 references
3 August 2018
0 references
A continuous updating weighted least squares estimator of tail dependence in high dimensions (English)
0 references
This paper deals with a new estimator for the tail dependence function in high dimensions. Given random vectors \(X_i = \left(X_{i1},\dots,X_{id}\right) \in \mathbb R^d\) for \(1 \leq i \leq n\), their tail dependence function \(l\) is estimated by employing an initial estimator \(\widehat{l}_{n,k}\) based on the same data and then minimizing a weighted least square loss over all possible functions \(l_\theta\) in a parametric family \(\left\{l_\theta: \theta \in\Theta\right\}\). The weighting matrix is allowed to depend on \(\theta\) as well and is hence jointly estimated with \(\theta\). The authors prove consistency and asymptotic normality of their estimator under reasonable assumptions and address goodness-of-fit testing as well. The choice of the initial estimator \(\widehat{l}_{n,k}\) is discussed in detail with several common examples. Afterwards extensive simulation studies are performed showing a competitive behavior of the investigated method. An application to European stock markets is also shown.
0 references
Brown-Resnick process
0 references
extremal coefficient
0 references
max-linear model
0 references
multivariate extremes
0 references
stable tail dependence function
0 references
0 references
0 references
0 references
0 references