Nonparametric estimation of the conditional tail copula
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Publication:2348439
DOI10.1016/j.jmva.2015.01.018zbMath1329.62166MaRDI QIDQ2348439
Stéphane Girard, Laurent Gardes
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
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
62G30: Order statistics; empirical distribution functions
62G32: Statistics of extreme values; tail inference
Related Items
Robust estimation of the conditional stable tail dependence function, Statistical inference on a changing extreme value dependence structure, Nonstationary modelling of tail dependence of two subjects' concentration, Local robust estimation of the Pickands dependence function, Semi-parametric estimation of multivariate extreme expectiles, Bias correction in conditional multivariate extremes
Uses Software
Cites Work
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