Nonparametric estimation of the conditional tail copula
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Publication:2348439
DOI10.1016/J.JMVA.2015.01.018zbMATH Open1329.62166OpenAlexW2027211232MaRDI QIDQ2348439FDOQ2348439
Authors: Laurent Gardes, Stéphane Girard 
Publication date: 12 June 2015
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.018
Recommendations
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)
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Cited In (21)
- Estimating a bivariate tail: a copula based approach
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Semi-parametric estimation of multivariate extreme expectiles
- Nonstationary modelling of tail dependence of two subjects' concentration
- Bayesian nonparametric estimation of a copula
- Local robust estimation of the Pickands dependence function
- Conditional quantiles and tail dependence
- Statistical inference on a changing extreme value dependence structure
- Nonparametric maximum likelihood estimation for dependent truncation data based on copulas
- Dependence Calibration in Conditional Copulas: A Nonparametric Approach
- Dependent conditional tail expectation for extreme levels
- Strength of tail dependence based on conditional tail expectation
- Title not available (Why is that?)
- Bias correction in conditional multivariate extremes
- Robust estimation of the conditional stable tail dependence function
- Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns
- Robust nonparametric estimation of the conditional tail dependence coefficient
- Non-parametric Estimation of Tail Dependence
- Multiplier bootstrap of tail copulas with applications
- Nonparametric estimation of multivariate multiparameter conditional copulas
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