On kernel estimation of the second order rate parameter in multivariate extreme value statistics

DOI10.1016/J.SPL.2017.04.015zbMATH Open1380.62224OpenAlexW2609689466MaRDI QIDQ2407489FDOQ2407489

Authors: Yuri Goegebeur, Armelle Guillou, Jing Qin 

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.04.015

Recommendations

• Kernel estimators for the second order parameter in extreme value statistics
• Asymptotically unbiased estimation of the second order tail parameter
• Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
• Statistics of Multivariate Extremes
• Semi-parametric estimation of the second order parameter in statistics of extremes

zbMATH Keywords

stable tail dependence functionsecond order parametermultivariate extreme value statistics

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Cites Work

• Extreme value theory. An introduction.
• Bias correction in multivariate extremes
• Bias-corrected estimation of stable tail dependence function
• A new class of semi-parametric estimators of the second order parameter.
• Semi-parametric estimation for heavy tailed distributions
• Kernel estimators for the second order parameter in extreme value statistics
• Bias-corrected and robust estimation of the bivariate stable tail dependence function

Cited In (5)

• Kernel estimators for the second order parameter in extreme value statistics
• Local estimation of the second-order parameter in extreme value statistics and local unbiased estimation of the tail index
• On second order conditions in the multivariate block maxima and peak over threshold method
• Asymptotically unbiased estimation of the second order tail parameter
• Estimating POT second-order parameter for bias correction

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