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

DOI10.1016/J.SPL.2017.04.015MaRDI QIDQ2407489zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Kernel estimators for the second order parameter in extreme value statistics
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• Statistics of Multivariate Extremes
• Semi-parametric estimation of the second order parameter in statistics of extremes

Cites work

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

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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