Estimating a bivariate tail: a copula based approach
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Publication:391665
DOI10.1016/J.JMVA.2013.03.020zbMATH Open1359.62182OpenAlexW2118933035MaRDI QIDQ391665FDOQ391665
Authors: Elena Di Bernardino, Véronique Maume-Deschamps, Clémentine Prieur 
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.03.020
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Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)
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Cited In (20)
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Estimation of the angular density in bivariate generalized Pareto models
- Fitting bivariate loss distributions with copulas
- A method of moments estimator of tail dependence
- Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
- A note on nonparametric estimation of bivariate tail dependence
- On a bivariate copula with both upper and lower full-range tail dependence
- An estimator of the stable tail dependence function based on the empirical beta copula
- Multivariate extreme value theory -- a tutorial
- Joint modelling of the body and tail of bivariate data
- Bivariate tail estimation: dependence in asymptotic independence
- Estimation of the coefficient of tail dependence in bivariate extremes
- Title not available (Why is that?)
- Parametric tail copula estimation and model testing
- Bias-reduced estimators for bivariate tail modelling
- On uniform tail expansions of bivariate copulas
- Multiplier bootstrap of tail copulas with applications
- Partial derivatives and confidence intervals of bivariate tail dependence functions
- Copulas with given values on the tails
- Bivariate copulas parameters estimation using the trimmed L-moments method
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