Estimating multivariate extremal dependence: a new proposal

DOI10.1090/TPMS/1001MaRDI QIDQ2960469zbMATH OpenOpenAlexFDO

Authors Marta Ferreira

Publication date 9 February 2017

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/1001

zbMATH Keywords

nonparametric estimationextreme value copulamultivariate Pickands dependence function

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

Recommendations

• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Nonparametric estimation of multivariate extreme-value copulas
• Minimum distance estimators of the Pickands dependence function and related tests of multivariate extreme-value dependence
• Non-parametric estimators of multivariate extreme dependence functions
• Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation

Cites work

• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• A nonparametric estimation procedure for bivariate extreme value copulas
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• Modelling multivariate extreme value distributions
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Non-parametric estimators of multivariate extreme dependence functions
• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• Nonparametric estimation of multivariate extreme-value copulas
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• On extremal dependence of block vectors
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Projection estimators of Pickands dependence functions
• Rank-based inference for bivariate extreme-value copulas
• Statistics of Extremes
• Weak convergence and empirical processes. With applications to statistics

Cited in

(14)

• A Conditional Approach for Multivariate Extreme Values (with Discussion)
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• New dependence coefficients. Examples and applications to statistics
• Detecting breaks in the dependence of multivariate extreme-value distributions
• A comparison of dependence function estimators in multivariate extremes
• scientific article; zbMATH DE number 7660128 (Why is no real title available?)
• Asymptotic independence and perfect dependence of vector components of multivariate extreme statistics
• Non-parametric estimators of multivariate extreme dependence functions
• Multidimensional extremal dependence coefficients
• New exploratory tools for extremal dependence: \(\chi \) networks and annual extremal networks
• Extremal dependence measure and extremogram: the regularly varying case
• Minimum distance estimators of the Pickands dependence function and related tests of multivariate extreme-value dependence
• Determining the dependence structure of multivariate extremes
• On the dependence function of Sibuya in multivariate extreme value theory

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