scientific article; zbMATH DE number 5668410

zbMATH Open1186.62064MaRDI QIDQ3405573FDOQ3405573

Authors: Liang Peng 

Publication date: 10 February 2010

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J20N1/J20N114/J20N114.html

Title of this publication is not available (Why is that?)

Recommendations

• A comparison of tail dependence estimators
• Estimating the tail-dependence coefficient: properties and pitfalls
• A method of moments estimator of tail dependence
• Non-parametric Estimation of Tail Dependence
• scientific article; zbMATH DE number 5791327
• A statistical methodology for assessing the maximal strength of tail dependence
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• Interval estimation for a measure of tail dependence
• Nonparametric estimation of the tail-dependence coefficient
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

zbMATH Keywords

bootstrapthresholdtail dependencebivariate extremes

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Order statistics; empirical distribution functions (62G30)

Cited In (22)

• Tail approximation in models that involve long range dependence: the distribution of overflows
• On the residual dependence index of elliptical distributions
• A comparison of tail dependence estimators
• Bias correction in multivariate extremes
• Threshold selection for multivariate heavy-tailed data
• Tail dependence from a distributional point of view
• Choice of smoothing parameter in multivariate copula-based tail coefficients
• Estimating the tail-dependence coefficient: properties and pitfalls
• Bootstrap approximation of tail dependence function
• Asymptotically unbiased estimation of the coefficient of tail dependence
• A continuous updating weighted least squares estimator of tail dependence in high dimensions
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• Title not available (Why is that?)
• Interval estimation for a measure of tail dependence
• Local Estimation of the Conditional Stable Tail Dependence Function
• A practical method for analysing heavy tailed data
• Bias-corrected and robust estimation of the bivariate stable tail dependence function
• Robust nonparametric estimation of the conditional tail dependence coefficient
• Multivariate risk models under heavy-tailed risks
• Estimating POT second-order parameter for bias correction
• An M-estimator for tail dependence in arbitrary dimensions
• Partial derivatives and confidence intervals of bivariate tail dependence functions

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3405573)