Nonstationary modelling of tail dependence of two subjects' concentration

DOI10.1214/17-AOAS1111MaRDI QIDQ1624851zbMATH OpenOpenAlexWikidataFDO

Authors Kshitij Sharma, V. Chavez-Demoulin, Pierre Dillenbourg

Publication date 16 November 2018

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aoas/1532743495

zbMATH Keywords

entropygeneralized additive modelstail dependencecopulascollaborative learning

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to social sciences (62P25)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• scientific article; zbMATH DE number 700016 (Why is no real title available?)
• scientific article; zbMATH DE number 927324 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• An introduction to copulas. Properties and applications
• Bivariate extreme statistics. I
• Generalized additive models for conditional dependence structures
• Generalized additive models. An introduction with R.
• Non-parametric Estimation of Tail Dependence
• Nonparametric estimation of the conditional tail copula
• Nonparametric estimation of the tail-dependence coefficient
• Pair-copula constructions of multiple dependence
• Penalized Likelihood for General Semi-Parametric Regression Models

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Uses Software

• QRM
• gamair

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