Exceedance-based nonlinear regression of tail dependence

DOI10.1007/S10687-019-00342-6zbMath1429.62175arXiv1802.01535OpenAlexW2963634654WikidataQ128454977 ScholiaQ128454977MaRDI QIDQ2322842

Thomas Opitz, Linda Mhalla, Valérie Chavez-Demoulin

Publication date: 5 September 2019

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.01535

zbMATH Keywords

asymptotic independenceextreme value theorytail dependencepenalized likelihoodgeneralized additive models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Generalized linear models (logistic models) (62J12) Statistics of extreme values; tail inference (62G32)

Related Items (5)

A modeler's guide to extreme value software ⋮ New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023 ⋮ New estimation methods for extremal bivariate return curves ⋮ Modelling non-stationarity in asymptotically independent extremes ⋮ Improving estimation for asymptotically independent bivariate extremes via global estimators for the angular dependence function

Uses Software

• copula
• gamair
• copula

Cites Work

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