Partial derivatives and confidence intervals of bivariate tail dependence functions

DOI10.1016/J.JSPI.2006.05.012zbMATH Open1120.62032OpenAlexW2106067929MaRDI QIDQ2455693FDOQ2455693

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

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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)

Cites Work

• Best attainable rates of convergence for estimators of the stable tail dependence function
• Sea and wind: multivariate extremes at work
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Title not available (Why is that?)
• Bivariate extreme value theory: Models and estimation
• Estimating the limit distribution of multivariate extremes
• Estimation of the coefficient of tail dependence in bivariate extremes
• Estimating the probability of a rare event
• Poisson and Gaussian approximation of weighted local empirical processes
• Estimating a multidimensional extreme-value distribution
• Estimating the spectral measure of an extreme value distribution

Cited In (5)

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

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