An M-estimator for tail dependence in arbitrary dimensions

DOI10.1214/12-AOS1023zbMATH Open1257.62058arXiv1112.0905MaRDI QIDQ693746FDOQ693746

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

Publication date: 10 December 2012

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

Abstract: Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as the value that minimizes the distance between a vector of weighted integrals of the tail dependence function and their empirical counterparts. The minimization problem has, with probability tending to one, a unique, global solution. The estimator is consistent and asymptotically normal. The spectral measures of the tail dependence models to which the method applies can be discrete or continuous. Examples demonstrate the applicability and the performance of the method.

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

zbMATH Keywords

factor modelM-estimationtail dependencemultivariate extremesasymptotic statistics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

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Cited In (39)

• Dense classes of multivariate extreme value distributions
• Modeling of censored bivariate extremal events
• Generalized Pareto copulas: a key to multivariate extremes
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Multivariate generalized Pareto distributions: parametrizations, representations, and properties
• Extremes of multivariate ARMAX processes
• Identifying groups of variables with the potential of being large simultaneously
• Estimating an extreme Bayesian network via scalings
• Sparse representation of multivariate extremes with applications to anomaly detection
• Spatial dependence and space-time trend in extreme events
• Multivariate peaks over thresholds models
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• Bias correction in multivariate extremes
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• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
• Detecting Structural Differences in Tail Dependence of Financial Time Series
• Space-time trends and dependence of precipitation extremes in north-western Germany
• Concentration bounds for the empirical angular measure with statistical learning applications
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• \(k\)-means clustering of extremes
• A continuous updating weighted least squares estimator of tail dependence in high dimensions
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• Empirical tail copulas for functional data
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• Cross-validation on extreme regions
• Tail dependence functions of two classes of bivariate skew distributions
• Upper bounds on value-at-risk for the maximum portfolio loss
• CRPS M-estimation for max-stable models
• On second order conditions in the multivariate block maxima and peak over threshold method
• The tail dependograph
• Nonparametric tests for constant tail dependence with an application to energy and finance
• Tail density estimation for exploratory data analysis using kernel methods
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Uses Software

• POT

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