Bootstrap approximation of tail dependence function

DOI10.1016/J.JMVA.2008.01.018MaRDI QIDQ943615zbMATH OpenOpenAlexFDO

Authors Liang Peng, Yongcheng Qi

Publication date 10 September 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2008.01.018

zbMATH Keywords

bootstrapconfidence bandextremestail empirical processdependence function

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1513110 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Estimating the probability of a rare event
• Estimating the tail dependence function of an elliptical distribution
• Non-parametric Estimation of Tail Dependence
• On a mapping approach to investigating the bootstrap accuracy
• On bootstrap sample size in extreme value theory
• Partial derivatives and confidence intervals of bivariate tail dependence functions
• Sea and wind: multivariate extremes at work
• Strong limit theorems for weighted quantile processes
• The almost sure behavior of the oscillation modulus of the multivariate empirical process
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

Cited in

(18)

• Statistical models and methods for dependence in insurance data
• Smoothed jackknife empirical likelihood method for tail copulas
• An estimator of the stable tail dependence function based on the empirical beta copula
• Tail dependence measure for examining financial extreme co-movements
• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
• scientific article; zbMATH DE number 2091773 (Why is no real title available?)
• Choice of smoothing parameter in multivariate copula-based tail coefficients
• Bootstrapping estimators based on the block maxima method
• Space-time trends and dependence of precipitation extremes in north-western Germany
• An analysis of a heuristic procedure to evaluate tail (in)dependence
• Empirical tail copulas for functional data
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• Parametric tail copula estimation and model testing
• Bootstrap and empirical likelihood methods in extremes
• Selected mathematical problems of traffic flow theory
• Multivariate risk models under heavy-tailed risks
• Multiplier bootstrap of tail copulas with applications
• Partial derivatives and confidence intervals of bivariate tail dependence functions

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