Nonparametric estimation of the dependence function for a multivariate extreme value distribution

DOI10.1016/j.jmva.2006.09.011zbMath1333.62140OpenAlexW1995254173MaRDI QIDQ2482618

Liang Peng, Dabao Zhang, Martin T. Wells

Publication date: 23 April 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.09.011

zbMATH Keywords

copulasdependence functionGaussian processempirical distributionmultivariate extreme value distribution

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (24)

Rank-based inference for bivariate extreme-value copulas ⋮ Inference for asymptotically independent samples of extremes ⋮ Nonparametric estimation of an extreme-value copula in arbitrary dimensions ⋮ Inference for Archimax copulas ⋮ Estimating multivariate extremal dependence: a new proposal ⋮ Some generalizations concerning inaccuracy measures ⋮ A comparison of dependence function estimators in multivariate extremes ⋮ A goodness-of-fit test for bivariate extreme-value copulas ⋮ Nonparametric estimation of multivariate extreme-value copulas ⋮ Statistical models and methods for dependence in insurance data ⋮ New estimators of the Pickands dependence function and a test for extreme-value dependence ⋮ On estimating extremal dependence structures by parametric spectral measures ⋮ Extremal behavior of Archimedean copulas ⋮ A general approach to generate random variates for multivariate copulae ⋮ Multivariate extreme value theory -- a tutorial ⋮ Dependence properties of multivariate max-stable distributions ⋮ Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials ⋮ Discussion about inaccuracy measure in information theory using co-copula and copula dual functions ⋮ On the effect of long-range dependence on extreme value copula estimation with fixed marginals ⋮ A horse race between the block maxima method and the peak-over-threshold approach ⋮ Estimation of Pickands dependence function of bivariate extremes under mixing conditions ⋮ A bayesian estimator for the dependence function of a bivariate extreme‐value distribution ⋮ Nonparametric estimation of the conditional tail copula ⋮ Bayesian estimation of bivariate Pickands dependence function

Uses Software

• VaR
• ismev

Cites Work

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• Software for the analysis of extreme events: The current state and future directions
• A note on strong approximations of multivariate empirical processes
• Intrinsic estimation of the dependence structure for bivariate extremes
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Estimating the spectral measure of an extreme value distribution
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• On Pickands coordinates in arbitrary dimensions
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Simulating multivariate extreme value distributions of logistic type
• Bivariate extreme value theory: Models and estimation
• Limit theory for multivariate sample extremes
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• An introduction to statistical modeling of extreme values

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