Almost sure convergence of the stable tail empirical dependence function in multivariate extreme statistics

DOI10.1007/BF02015138zbMath0904.62061MaRDI QIDQ1367249

Yongcheng Qi

Publication date: 21 September 1997

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02015138

zbMATH Keywords

multivariate extremes; almost sure convergence; strong consistency; stable tail empirical dependence function

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G30: Order statistics; empirical distribution functions

60F15: Strong limit theorems

Related Items

Statistical models and methods for dependence in insurance data, Smoothed jackknife empirical likelihood method for tail copulas, Parametric tail copula estimation and model testing, Bootstrap approximation of tail dependence function, Bias-corrected and robust estimation of the bivariate stable tail dependence function, Nonparametric estimation of the spectral measure of an extreme value distribution., Choice of smoothing parameter in multivariate copula-based tail coefficients, \(k\)-means clustering of extremes, Identifying groups of variables with the potential of being large simultaneously, Multiplier bootstrap of tail copulas with applications, Dependence estimation and visualization in multivariate extremes with applications to financial data, Non-parametric Estimation of Tail Dependence

Cites Work

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• A moment estimator for the index of an extreme-value distribution
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Limit theorems for the ratio of the empirical distribution function to the true distribution function