Estimating multivariate extremal dependence: a new proposal
DOI10.1090/TPMS/1001zbMATH Open1360.62121OpenAlexW2586754137MaRDI QIDQ2960469FDOQ2960469
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
Recommendations
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
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- Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation
Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)
Cites Work
- Weak convergence and empirical processes. With applications to statistics
- On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- Modelling multivariate extreme value distributions
- Title not available (Why is that?)
- A nonparametric estimation procedure for bivariate extreme value copulas
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Nonparametric estimation of multivariate extreme-value copulas
- Statistics of Extremes
- Projection estimators of Pickands dependence functions
- Nonparametric estimation of an extreme-value copula in arbitrary dimensions
- New estimators of the Pickands dependence function and a test for extreme-value dependence
- Rank-based inference for bivariate extreme-value copulas
- On extremal dependence of block vectors
- Non-parametric estimators of multivariate extreme dependence functions
Cited In (14)
- Minimum distance estimators of the Pickands dependence function and related tests of multivariate extreme-value dependence
- Non-parametric estimators of multivariate extreme dependence functions
- A comparison of dependence function estimators in multivariate extremes
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- Title not available (Why is that?)
- Detecting breaks in the dependence of multivariate extreme-value distributions
- On the dependence function of Sibuya in multivariate extreme value theory
- Asymptotic independence and perfect dependence of vector components of multivariate extreme statistics
- New exploratory tools for extremal dependence: \(\chi \) networks and annual extremal networks
- New dependence coefficients. Examples and applications to statistics
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Determining the dependence structure of multivariate extremes
- Extremal dependence measure and extremogram: the regularly varying case
- Multidimensional extremal dependence coefficients
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