Estimating the spectral measure of an extreme value distribution

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)

Cites Work

On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
Statistics of Multivariate Extremes
Modelling multivariate extreme value distributions
Title not available (Why is that?)
A moment estimator for the index of an extreme-value distribution
Bivariate extreme value theory: Models and estimation
Estimating the limit distribution of multivariate extremes
On the non-parametric estimation of the bivariate extreme-value distributions
Universal Donsker classes and metric entropy
Uniform Donsker classes of functions
Limit theory for multivariate sample extremes
Poisson and Gaussian approximation of weighted local empirical processes
Estimating a multidimensional extreme-value distribution
Title not available (Why is that?)

Cited In (36)

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 dependence function for a multivariate extreme value distribution
Nonparametric estimation of the spectral measure of an extreme value distribution.
Asymptotically distribution-free goodness-of-fit testing for tail copulas
Bias correction in multivariate extremes
It was 30 years ago today when Laurens de Haan went the multivariate way
On the distribution of Pickands coordinates in bivariate EV and GP models
Extreme value modelling of water-related insurance claims
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
Concentration bounds for the empirical angular measure with statistical learning applications
\(k\)-means clustering of extremes
Multivariate Sparse Clustering for Extremes
Poisson and Gaussian approximation of weighted local empirical processes
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
A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
Estimating the limit distribution of multivariate extremes
Jump tails, extreme dependencies, and the distribution of stock returns
Estimating POT second-order parameter for bias correction
Testing the Multivariate Regular Variation Model
The spectrogram: a threshold-based inferential tool for extremes of stochastic processes
Partial derivatives and confidence intervals of bivariate tail dependence functions
On tail index estimation based on multivariate data
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

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