Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
DOI10.1016/J.JMVA.2019.02.013zbMATH Open1419.62116OpenAlexW2918148170MaRDI QIDQ2001093FDOQ2001093
Publication date: 2 July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2019.02.013
Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Title not available (Why is that?)
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Generalized autoregressive conditional heteroscedasticity
- Weak convergence and empirical processes. With applications to statistics
- Dependence Modeling with Copulas
- Maximum Likelihood Estimation of Misspecified Models
- Tail dependence functions and vine copulas
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Truncated regular vines in high dimensions with application to financial data
- Factor copula models for multivariate data
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An M-estimator for tail dependence in arbitrary dimensions
- Modelling Across Extremal Dependence Classes
- Dependence measures for extreme value analyses
- Tail order and intermediate tail dependence of multivariate copulas
- Strength of tail dependence based on conditional tail expectation
- Estimating failure probabilities
- Approximation and estimation of very small probabilities of multivariate extreme events
- Tail dependence comparison of survival Marshall-Olkin copulas
- Estimating the tail-dependence coefficient: properties and pitfalls
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- Nonparametric estimation of general multivariate tail dependence and applications to financial time series
- A comparison of dependence function estimators in multivariate extremes
- Factor Copula Models for Replicated Spatial Data
- Tail-weighted dependence measures with limit being the tail dependence coefficient
Cited In (15)
- \(t\)-copula from the viewpoint of tail dependence matrices
- Generalized Pareto copulas: a key to multivariate extremes
- A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE
- Editorial for the special issue on dependence models
- Independence results for multivariate tail dependence coefficients
- Estimating the tail-dependence coefficient: properties and pitfalls
- Estimation of multivariate tail quantities
- The integrated copula spectrum
- Title not available (Why is that?)
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Multivariate modeling of precipitation-induced home insurance risks using data depth
- Title not available (Why is that?)
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
- A Euclidean Likelihood Estimator for Bivariate Tail Dependence
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
Uses Software
This page was built for publication: Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2001093)
