Estimation of multivariate conditional-tail-expectation using Kendall's process

DOI10.1080/10485252.2014.889137MaRDI QIDQ5419464zbMATH OpenOpenAlexFDO

Authors Elena Di Bernardino, Clémentine Prieur

Publication date 6 June 2014

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485252.2014.889137

zbMATH Keywords

Kendall's processmultivariate Kendall distributionmultidimensional risk measures

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cited in

(5)

• Estimation of extreme quantiles conditioning on multivariate critical layers
• Extremes for multivariate expectiles
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
• Estimators based on Kendall's tau in multivariate copula models
• Nonparametric estimation of multivariate quantiles

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