Estimating the spectral measure of an extreme value distribution

DOI10.1016/S0304-4149(97)00065-3MaRDI QIDQ1275958zbMATH OpenFDO

Authors John H. J. Einmahl, Laurens De Haan, Ashoke Kumar Sinha

Publication date 14 January 1999

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(97)00065-3

zbMATH Keywords

empirical processesextreme valuesspectral measureVapnik-Cervonenkis class

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Recommendations

• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• Estimation of a bivariate extreme value distribution
• Estimating a multidimensional extreme-value distribution

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A moment estimator for the index of an extreme-value distribution
• Bivariate extreme value theory: Models and estimation
• Empirical processes
• Estimating a multidimensional extreme-value distribution
• Estimating the limit distribution of multivariate extremes
• Limit theory for multivariate sample extremes
• Modelling multivariate extreme value distributions
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• On the non-parametric estimation of the bivariate extreme-value distributions
• Poisson and Gaussian approximation of weighted local empirical processes
• Statistics of Multivariate Extremes
• Uniform Donsker classes of functions
• Universal Donsker classes and metric entropy

Cited in

(37)

• Extreme dependence of multivariate catastrophic losses
• Estimating the probability of a rare event
• Non-parametric estimators of multivariate extreme dependence functions
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Dependence estimation and visualization in multivariate extremes with applications to financial data
• Sparse regular variation
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Asymptotically distribution-free goodness-of-fit testing for tail copulas
• It was 30 years ago today when Laurens de Haan went the multivariate way
• Bias correction in multivariate extremes
• On the distribution of Pickands coordinates in bivariate EV and GP models
• Extreme value modelling of water-related insurance claims
• Estimation of the spectral measure from convex combinations of regularly varying random vectors
• Bivariate distributions with given extreme value attractor
• Statistical inference on a changing extreme value dependence structure
• Estimating the tail-dependence coefficient: properties and pitfalls
• Two-Sample Testing for Tail Copulas with an Application to Equity Indices
• \(k\)-means clustering of extremes
• Concentration bounds for the empirical angular measure with statistical learning applications
• Poisson and Gaussian approximation of weighted local empirical processes
• Multivariate Sparse Clustering for Extremes
• On Pickands coordinates in arbitrary dimensions
• On optimal portfolio diversification with respect to extreme risks
• Asymptotic independence and support detection techniques for heavy-tailed multivariate data
• Bias-corrected and robust estimation of the bivariate stable tail dependence function
• Jump tails, extreme dependencies, and the distribution of stock returns
• Estimating the limit distribution of multivariate extremes
• A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
• Estimating POT second-order parameter for bias correction
• The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
• Testing the Multivariate Regular Variation Model
• Partial derivatives and confidence intervals of bivariate tail dependence functions
• Convex geometry of max-stable distributions
• Estimating the multivariate extremal index function
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
• On tail index estimation based on multivariate data

This page was built for publication: Estimating the spectral measure of an extreme value distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1275958)