Nonparametric estimation of the conditional tail copula
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Publication:2348439
DOI10.1016/j.jmva.2015.01.018zbMath1329.62166OpenAlexW2027211232MaRDI QIDQ2348439
Stéphane Girard, Laurent Gardes
Publication date: 12 June 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.018
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)
Related Items (6)
Nonstationary modelling of tail dependence of two subjects' concentration ⋮ Bias correction in conditional multivariate extremes ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Statistical inference on a changing extreme value dependence structure ⋮ Local robust estimation of the Pickands dependence function ⋮ Semi-parametric estimation of multivariate extreme expectiles
Uses Software
Cites Work
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