Estimation of multivariate tail quantities

DOI10.1016/J.CSDA.2023.107761MaRDI QIDQ6115547zbMATH OpenOpenAlexFDO

Authors Xiaoting Li, Harry Joe

Publication date 13 July 2023

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2023.107761

zbMATH Keywords

tail dependencecopulasextremesmultivariate quantilestail order

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• An M-estimator for tail dependence in arbitrary dimensions
• An introduction to statistical modeling of extreme values
• An overview of composite likelihood methods
• Construction of asymmetric multivariate copulas
• Dependence modeling with copulas
• Dependence properties and Bayesian inference for asymmetric multivariate copulas
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Estimation and uncertainty quantification for extreme quantile regions
• Estimation of extreme depth-based quantile regions
• Estimation of extreme risk regions under multivariate regular variation
• Extended generalised Pareto models for tail estimation
• Extreme value theory. An introduction.
• Factor copula models for multivariate data
• Generalized Pareto copulas: a key to multivariate extremes
• Large quantile estimation in a multivariate setting
• Maximum Likelihood Estimation of Misspecified Models
• Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
• Non-parametric Estimation of Tail Dependence
• Nonlinear Regression on Cross-Section Data
• Nonparametric estimation of general multivariate tail dependence and applications to financial time series
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Quantitative risk management. Concepts, techniques and tools
• Tail dependence functions and vine copulas
• Tail order and intermediate tail dependence of multivariate copulas
• Tail-weighted dependence measures with limit being the tail dependence coefficient
• The multivariate skew-normal distribution

Cited in

(6)

• Multivariate directional tail-weighted dependence measures
• Properties of CoVaR based on tail expansions of copulas
• Finite sample tail behavior of multivariate location estimators
• On the estimation of the variability in the distribution tail
• Estimation of Tails and Related Quantities Using the Number of Near-Extremes
• On tail index estimation based on multivariate data

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