A continuous updating weighted least squares estimator of tail dependence in high dimensions (Q125412): Difference between revisions
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3 August 2018
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Property / publication date: 3 August 2018 / rank | |||||||||||||||
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Property / author: John H. J. Einmahl / rank | |||||||||||||||
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Property / author: Anna Kiriliouk / rank | |||||||||||||||
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Property / author: Johan Segers / rank | |||||||||||||||
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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 | |||||||||||||||
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Property / zbMATH Open document ID: 1402.62088 / rank | |||||||||||||||
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Property / full work available at URL: https://arxiv.org/abs/1601.04826 / rank | |||||||||||||||
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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 | |||||||||||||||
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Property / reviewed by: Frank Werner / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62G32 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62G05 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62G10 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62G20 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 60F05 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 60G70 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 62P05 / rank | |||||||||||||||
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Property / zbMATH DE Number: 6912882 / rank | |||||||||||||||
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Brown-Resnick process | |||||||||||||||
Property / zbMATH Keywords: Brown-Resnick process / rank | |||||||||||||||
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extremal coefficient | |||||||||||||||
Property / zbMATH Keywords: extremal coefficient / rank | |||||||||||||||
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max-linear model | |||||||||||||||
Property / zbMATH Keywords: max-linear model / rank | |||||||||||||||
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multivariate extremes | |||||||||||||||
Property / zbMATH Keywords: multivariate extremes / rank | |||||||||||||||
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stable tail dependence function | |||||||||||||||
Property / zbMATH Keywords: stable tail dependence function / rank | |||||||||||||||
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Revision as of 23:21, 4 July 2023
scientific article
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English | A continuous updating weighted least squares estimator of tail dependence in high dimensions |
scientific article |
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205-233
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31 August 2017
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3 August 2018
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A continuous updating weighted least squares estimator of tail dependence in high dimensions (English)
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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.
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Brown-Resnick process
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extremal coefficient
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max-linear model
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multivariate extremes
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stable tail dependence function
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