Extremal dependence measure for functional data

DOI10.1016/j.jmva.2021.104887OpenAlexW3209012911MaRDI QIDQ2078556

Mihyun Kim, Piotr S. Kokoszka

Publication date: 1 March 2022

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104887

zbMATH Keywords

regular variationfunctional datafunctional scoresmultivariate extremal dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32) Multivariate analysis (62Hxx)

Cites Work

• Unnamed Item
• Unnamed Item
• An introduction to recent advances in high/infinite dimensional statistics
• A partial overview of the theory of statistics with functional data
• Inference for functional data with applications
• Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
• The extremogram: a correlogram for extreme events
• Extremal dependence measure and extremogram: the regularly varying case
• Limit theory for moving averages of random variables with regularly varying tail probabilities
• More limit theory for the sample correlation function of moving averages
• Kernel estimates of the tail index of a distribution
• Limit theory for the sample covariance and correlation functions of moving averages
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Hidden regular variation, second order regular variation and asymptotic independence
• Recent advances in functional data analysis and high-dimensional statistics
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Principal components analysis of regularly varying functions
• The Extremal Dependence Measure and Asymptotic Independence
• Regular variation for measures on metric spaces
• Statistics for near independence in multivariate extreme values
• Smoothing the Hill Estimator
• Asymptotic behavior of hill's estimator for autoregressive data
• High-dimensional peaks-over-threshold inference
• Diagnostics for Dependence within Time Series Extremes
• Multivariate max-stable spatial processes
• Theoretical Foundations of Functional Data Analysis, with an Introduction to Linear Operators
• Hill estimator of projections of functional data on principal components
• Measure Theory
• Heavy-Tail Phenomena
• Decompositions of dependence for high-dimensional extremes

This page was built for publication: Extremal dependence measure for functional data