Semi-parametric estimation of multivariate extreme expectiles

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Methods of quasi-Newton type (90C53)

Cites Work

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Weak convergence and empirical processes. With applications to statistics
An introduction to recent advances in high/infinite dimensional statistics
Asymptotic Statistics
Coherent measures of risk
A Limited Memory Algorithm for Bound Constrained Optimization
Making and Evaluating Point Forecasts
On the limited memory BFGS method for large scale optimization
Asymmetric Least Squares Estimation and Testing
Design-based estimation for geometric quantiles with application to outlier detection
Generalized quantiles as risk measures
Coherence and elicitability
A simple general approach to inference about the tail of a distribution
Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
Estimation of Tail Risk Based on Extreme Expectiles
COMONOTONIC MEASURES OF MULTIVARIATE RISKS
Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme
Nonparametric estimation of the conditional tail copula
On kernel smoothing for extremal quantile regression
A modified BFGS method and its global convergence in nonconvex minimization
Functional nonparametric estimation of conditional extreme quantiles
On the global convergence of the BFGS method for nonconvex unconstrained optimization problems
Non-parametric Estimation of Tail Dependence
On elicitable risk measures
Impact of dependence on some multivariate risk indicators
Dynamic coherent risk measures
Bounds for functions of multivariate risks
On multivariate extensions of value-at-risk
Bivariate lower and upper orthant value-at-risk
A directional multivariate value at risk
Vector-valued tail value-at-risk and capital allocation
Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
ASYMPTOTIC EXPANSIONS OF GENERALIZED QUANTILES AND EXPECTILES FOR EXTREME RISKS
Multivariate extensions of expectiles risk measures
Global convergence of BFGS and PRP methods under a modified weak Wolfe-Powell line search
Almost sure convergence of the Hill estimator
Multivariate geometric expectiles
Extreme geometric quantiles in a multivariate regular variation framework
An estimator of the stable tail dependence function based on the empirical beta copula
Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
Extremes for multivariate expectiles
A consistent estimator to the orthant-based tail value-at-risk
Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables
MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK

Cited In (7)

Multivariate expectile-based distribution: properties, Bayesian inference, and applications
A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
Semiparametric estimation of extremes
A semiparametric method to simulate bivariate space-time extremes
An efficient semiparametric maxima estimator of the extremal index
Estimation of extreme risk regions under multivariate regular variation
Semiparametric exponential families for heavy-tailed data

Uses Software

L-BFGS
LBFGS-B

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