Nonparametric estimation of extremal dependence

MaRDI QIDQ5272731zbMATH OpenFDO

Authors Anna Kinhouk, Johan Segers, Michal Warchoi

Publication date 4 July 2017

Full work available at URL https://arxiv.org/abs/1411.0414

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(25)

• DETECTING AND MODELING TAIL DEPENDENCE
• Measuring the extremal dependence
• Decompositions of dependence for high-dimensional extremes
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Measures of multivariate asymptotic dependence and their relation to spectral expansions
• Dependence estimation and visualization in multivariate extremes with applications to financial data
• Nonparametric estimation of general multivariate tail dependence and applications to financial time series
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Nonparametric estimation of the tail-dependence coefficient
• On extremal dependence of block vectors
• Non-parametric estimation of cumulative (residual) extropy
• Nonparametric rank-based tests of bivariate extreme-value dependence
• Tail dependence measure for examining financial extreme co-movements
• Asymptotics for the conditional higher moment coherent risk measure with weak contagion
• EXTREMAL DEPENDENCE: INTERNET TRAFFIC APPLICATIONS
• Climate extreme event attribution using multivariate peaks-over-thresholds modeling and counterfactual theory
• Non-linear models for extremal dependence
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation
• scientific article; zbMATH DE number 5791327 (Why is no real title available?)
• The tail dependograph
• Time-varying extreme value dependence with application to leading European stock markets
• On estimating extremal dependence structures by parametric spectral measures
• Extremal dependence measure for functional data
• Semiparametric bivariate modelling with flexible extremal dependence

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