Robust and bias-corrected estimation of the probability of extreme failure sets

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

Cites Work

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Robust and bias-corrected estimation of the coefficient of tail dependence
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A simple general approach to inference about the tail of a distribution
Sea and wind: multivariate extremes at work
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Asymptotically Unbiased Estimation of the Coefficient of Tail Dependence

Cited In (4)

Conditional tail moment and reinsurance premium estimation under random right censoring
Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
Coverage estimation using statistics of the extremes for when testing reveals no failures
Robust nonparametric estimation of the conditional tail dependence coefficient

Uses Software

RTDE

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