Bias-reduced estimators for bivariate tail modelling

DOI10.1016/j.insmatheco.2011.01.010zbMath1218.62046OpenAlexW2047326752MaRDI QIDQ2276254

Goedele Dierckx, Armelle Guillou, Jan Beirlant

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.010

zbMATH Keywords

bias reductionextreme value theorybivariate slowly varying function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items

Robust and bias-corrected estimation of the probability of extreme failure sets ⋮ Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Estimating a bivariate tail: a copula based approach ⋮ Modeling of censored bivariate extremal events ⋮ Bias-corrected and robust estimation of the bivariate stable tail dependence function ⋮ A modeler's guide to extreme value software ⋮ Bias-corrected estimation of stable tail dependence function ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence ⋮ Robust and bias-corrected estimation of the coefficient of tail dependence ⋮ Second-order tail asymptotics of deflated risks ⋮ Bias correction in multivariate extremes

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