Estimation of the coefficient of tail dependence in bivariate extremes
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Cites work
- Bivariate extreme statistics. I
- Convergence of stochastic processes
- Estimating exceedance probabilities in higher-dimensional space
- Estimating the limit distribution of multivariate extremes
- Functional central limit theorems for processes with positive drift and their inverses
- Limit theory for multivariate sample extremes
- Sea and wind: multivariate extremes at work
- Statistics for near independence in multivariate extreme values
Cited in
(48)- A method of moments estimator of tail dependence
- Testing the tail-dependence based on the radial component
- Review of testing issues in extremes: in honor of Professor Laurens de Haan
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Extremal financial risk models and portfolio evaluation
- An analysis of a heuristic procedure to evaluate tail (in)dependence
- Bivariate tail estimation: dependence in asymptotic independence
- Some comments on the estimation of a dependence index in bivariate extreme value statistics.
- On extremal dependence: some contributions
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- Robust nonparametric estimation of the conditional tail dependence coefficient
- Identifying groups of variables with the potential of being large simultaneously
- Quotient correlation: a sample based alternative to Pearson's correlation
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- Characterizations and examples of hidden regular variation
- Testing for tail independence in extreme value models
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Estimating the tail-dependence coefficient: properties and pitfalls
- Robust and bias-corrected estimation of the probability of extreme failure sets
- Tail dependence measure for examining financial extreme co-movements
- Hidden regular variation and detection of hidden risks
- Measuring asymptotic dependence of extremes and tests based on tail indexes
- Non-parametric Estimation of Tail Dependence
- Approximation and estimation of very small probabilities of multivariate extreme events
- Estimating a bivariate tail: a copula based approach
- Geometric interpretation of the residual dependence coefficient
- Modeling of censored bivariate extremal events
- Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
- Tail-weighted dependence measures with limit being the tail dependence coefficient
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Asymptotically unbiased estimation of the coefficient of tail dependence
- A Euclidean Likelihood Estimator for Bivariate Tail Dependence
- Interval estimation for a measure of tail dependence
- Multivariate extreme value theory and its usefulness in understanding risk
- Optimal number of upper order statistics used in estimation for the coefficient of tail dependence
- A robust test for asymptotic independence of bivariate extremes
- Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes
- Hidden regular variation and the rank transform
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- Permutation test of tail dependence
- Estimating the limiting shape of bivariate scaled sample clouds: with additional benefits of self-consistent inference for existing extremal dependence properties
- Reduced-bias estimation of the residual dependence index with unspecified marginals
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- On the worst and least possible asymptotic dependence
- Efficient maximum likelihood estimation of copula based meta \(t\)-distributions
- On the tail dependence in bivariate hydrological frequency analysis
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
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