Parametric tail copula estimation and model testing

DOI10.1016/J.JMVA.2007.08.003MaRDI QIDQ928859zbMATH OpenOpenAlexFDO

Authors Cláudia Neves, Liang Peng, Laurens De Haan

Publication date 11 June 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2007.08.003

zbMATH Keywords

empirical tail copulaextreme valuesmaximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

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Cites work

• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Bivariate extreme value theory: Models and estimation
• Bootstrap approximation of tail dependence function
• Diagnostics for Dependence within Time Series Extremes
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 469373 (Why is no real title available?)
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Non-parametric Estimation of Tail Dependence
• Partial derivatives and confidence intervals of bivariate tail dependence functions
• Statistics for near independence in multivariate extreme values
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

Cited in

(19)

• A method of moments estimator of tail dependence
• Review of testing issues in extremes: in honor of Professor Laurens de Haan
• Multivariate peaks over thresholds models
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• A horse race between the block maxima method and the peak-over-threshold approach
• Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
• On functional records and champions
• Asymptotically distribution-free goodness-of-fit testing for tail copulas
• Nonparametric estimation of the conditional tail copula
• Multiplier bootstrap of tail copulas with applications
• Non-parametric estimation of copula parameters: testing for time-varying correlation
• Estimating a bivariate tail: a copula based approach
• Statistical models and methods for dependence in insurance data
• Full Bayesian analysis for a model of tail dependence
• scientific article; zbMATH DE number 5218715 (Why is no real title available?)
• Polynomial Pickands functions
• X-vine models for multivariate extremes
• An M-estimator for tail dependence in arbitrary dimensions
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion

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