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

DOI10.1007/S13171-015-0078-3zbMATH Open1338.62151OpenAlexW1887300810MaRDI QIDQ288263FDOQ288263

Authors: Christophe Dutang, Yuri Goegebeur, Armelle Guillou 

Publication date: 25 May 2016

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-015-0078-3

Recommendations

• Estimating failure probabilities
• Robust and bias-corrected estimation of the coefficient of tail dependence
• Bias correction in multivariate extremes
• scientific article; zbMATH DE number 4062346
• Bias-corrected and robust estimation of the bivariate stable tail dependence function

zbMATH Keywords

robustnesstail dependencetail quantile processbias-correctionfailure set

Mathematics Subject Classification ID

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

Cites Work

• Robust and bias-corrected estimation of the coefficient of tail dependence
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• Sea and wind: multivariate extremes at work
• A new class of semi-parametric estimators of the second order parameter.
• A new class of models for bivariate joint tails
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Title not available (Why is that?)
• Semi-parametric estimation for heavy tailed distributions
• A moment estimator for the index of an extreme-value distribution
• Kernel estimators for the second order parameter in extreme value statistics
• Estimating a tail exponent by modelling departure from a Pareto distribution
• On Smooth Statistical Tail Functionals
• Robust and efficient estimation by minimising a density power divergence
• Estimation of a tail index based on minimum density power divergence
• Limiting dependence structures for tail events, with applications to credit derivatives
• Bivariate tail estimation: dependence in asymptotic independence
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• A general class of estimators of the extreme value index
• Some comments on the estimation of a dependence index in bivariate extreme value statistics.
• Bias reduction and explicit semi-parametric estimation of the tail index
• Estimation of the coefficient of tail dependence in bivariate extremes
• Bias-reduced estimators for bivariate tail modelling
• An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index
• Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
• 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

This page was built for publication: Robust and bias-corrected estimation of the probability of extreme failure sets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q288263)