Partial derivatives and confidence intervals of bivariate tail dependence functions

DOI10.1016/J.JSPI.2006.05.012MaRDI QIDQ2455693zbMATHOpenAlexFDO

Authors Liang Peng, Yongcheng Qi

Publication date 26 October 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.05.012

zbMATH Keywords

spectral measurebivariate extremessmooth estimation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Bivariate extreme value theory: Models and estimation
• Estimating a multidimensional extreme-value distribution
• Estimating the limit distribution of multivariate extremes
• Estimating the probability of a rare event
• Estimating the spectral measure of an extreme value distribution
• Estimation of the coefficient of tail dependence in bivariate extremes
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Poisson and Gaussian approximation of weighted local empirical processes
• Sea and wind: multivariate extremes at work

Cited in

(5)

• Parametric tail copula estimation and model testing
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Bootstrap approximation of tail dependence function
• Statistical models and methods for dependence in insurance data
• Smoothed jackknife empirical likelihood method for tail copulas

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