Inference for asymptotically independent samples of extremes
From MaRDI portal
Publication:1661337
DOI10.1016/j.jmva.2018.04.009zbMath1410.60033OpenAlexW2731397869WikidataQ129911469 ScholiaQ129911469MaRDI QIDQ1661337
Armelle Guillou, Stefano Rizzelli, Simone A. Padoan
Publication date: 16 August 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2018.04.009
Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Related Items (3)
Generalized Pareto copulas: a key to multivariate extremes ⋮ Conditional tail independence in Archimedean copula models ⋮ Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- Nonparametric estimation of an extreme-value copula in arbitrary dimensions
- An introduction to copulas.
- Rank-based inference for bivariate extreme-value copulas
- Testing asymptotic independence in bivariate extremes
- Strong approximations of the quantile process
- Hidden regular variation, second order regular variation and asymptotic independence
- On the maximum likelihood estimator for the generalized extreme-value distribution
- A comparison of dependence function estimators in multivariate extremes
- Bivariate tail estimation: dependence in asymptotic independence
- Weak convergence of empirical copula processes
- Weak convergence and empirical processes. With applications to statistics
- A short and elementary proof of the main Bahadur-Kiefer theorem
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Tests of independence and randomness based on the empirical copula process
- A new representation for multivariate tail probabilities
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- Characterizations and examples of hidden regular variation
- An Alternative Point Process Framework for Modeling Multivariate Extreme Values
- Modelling multivariate extreme value distributions
- A New Class of Models for Bivariate Joint Tails
- Statistics for near independence in multivariate extreme values
- Asymptotic Statistics
- A nonparametric estimation procedure for bivariate extreme value copulas
- Statistics of Extremes
- Empirical processes indexed by estimated functions
- Modelling Across Extremal Dependence Classes
- Heavy-Tail Phenomena
- Bivariate extreme value distributions based on polynomial dependence functions
- An introduction to statistical modeling of extreme values
This page was built for publication: Inference for asymptotically independent samples of extremes
