A method of moments estimator of tail dependence

DOI10.3150/08-BEJ130zbMATH Open1155.62017arXiv0710.2039OpenAlexW2171205854MaRDI QIDQ1002534FDOQ1002534

Andrea Krajina, Johan Segers, John H. J. Einmahl

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Abstract: In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a semi-parametric model in which the stable tail dependence function is parametrically modeled. Given a random sample from a bivariate distribution function, the problem is to estimate the unknown parameter. A method of moments estimator is proposed where a certain integral of a nonparametric, rank-based estimator of the stable tail dependence function is matched with the corresponding parametric version. Under very weak conditions, the estimator is shown to be consistent and asymptotically normal. Moreover, a comparison between the parametric and nonparametric estimators leads to a goodness-of-fit test for the semiparametric model. The performance of the estimator is illustrated for a discrete spectral measure that arises in a factor-type model and for which likelihood-based methods break down. A second example is that of a family of stable tail dependence functions of certain meta-elliptical distributions.

Full work available at URL: https://arxiv.org/abs/0710.2039

zbMATH Keywords

asymptotic propertiesconfidence regionsgoodness-of-fit testmethod of momentstail dependencemultivariate extremesmeta-elliptical distribution

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

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Cited In (20)

• Dense classes of multivariate extreme value distributions
• Estimating a bivariate tail: a copula based approach
• Statistical models and methods for dependence in insurance data
• Title not available (Why is that?)
• A method of moments estimator of tail dependence in meta-elliptical models
• Asymptotically distribution-free goodness-of-fit testing for tail copulas
• Bias correction in multivariate extremes
• The min-characteristic function: characterizing distributions by their min-linear projections
• Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks
• Sensitivity of the limit shape of sample clouds from meta densities
• Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
• On the tail dependence in bivariate hydrological frequency analysis
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• Interval estimation for a measure of tail dependence
• Tail density estimation for exploratory data analysis using kernel methods
• Polynomial Pickands functions
• Title not available (Why is that?)
• An M-estimator for tail dependence in arbitrary dimensions
• Multiplier bootstrap of tail copulas with applications
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion

Uses Software

• ismev

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