Estimating the spectral measure of an extreme value distribution
From MaRDI portal
Publication:1275958
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
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)
