Robust and bias-corrected estimation of the coefficient of tail dependence
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Publication:2513439
DOI10.1016/J.INSMATHECO.2014.05.003zbMath1304.62073OpenAlexW2017851313MaRDI QIDQ2513439
Yuri Goegebeur, Armelle Guillou, Christophe Dutang
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.05.003
Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)
Related Items (10)
Robust and bias-corrected estimation of the probability of extreme failure sets ⋮ Robust nonparametric estimation of the conditional tail dependence coefficient ⋮ Bias-corrected and robust estimation of the bivariate stable tail dependence function ⋮ A modeler's guide to extreme value software ⋮ Bias-corrected estimation of stable tail dependence function ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Interval estimation for a measure of tail dependence ⋮ Data-adaptive trimming of the Hill estimator and detection of outliers in the extremes of heavy-tailed data ⋮ RTDE ⋮ Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
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