Estimating a multidimensional extreme-value distribution
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Cited in
(40)- Multiplier bootstrap of tail copulas with applications
- Dependence properties of multivariate max-stable distributions
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- A new representation for multivariate tail probabilities
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- Testing the Multivariate Regular Variation Model
- Toward a copula theory for multivariate regular variation
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- Some properties of multivariate extreme value distributions and multivariate tail equivalence
- Regional extreme value index estimation and a test of tail homogeneity
- A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables
- An M-estimator for tail dependence in arbitrary dimensions
- It was 30 years ago today when Laurens de Haan went the multivariate way
- A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
- On optimal portfolio diversification with respect to extreme risks
- Multivariate tail estimation with application to analysis of CoVaR
- Estimating the limit distribution of multivariate extremes
- Estimating the multivariate extremal index function
- Multivariate Hill Estimators
- Non-parametric estimators of multivariate extreme dependence functions
- Measuring asymptotic dependence of extremes and tests based on tail indexes
- scientific article; zbMATH DE number 4054794 (Why is no real title available?)
- Extreme dependence of multivariate catastrophic losses
- Estimation of the angular density in bivariate generalized Pareto models
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- scientific article; zbMATH DE number 4100427 (Why is no real title available?)
- A construction principle for multivariate extreme value distributions
- Estimating the tail-dependence coefficient: properties and pitfalls
- Dimension reduction in multivariate extreme value analysis
- scientific article; zbMATH DE number 34422 (Why is no real title available?)
- MULTIVARIATE STABLE FUTURES PRICES
- Sparse regular variation
- Bivariate distributions with given extreme value attractor
- On the estimation of extreme directional multivariate quantiles
- Estimating the spectral measure of an extreme value distribution
- Bernstein polynomial angular densities of multivariate extreme value distributions
- Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation
- Multivariate Sparse Clustering for Extremes
- Best attainable rates of convergence for estimators of the stable tail dependence function
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