A note on tail dependence regression

DOI10.1016/J.JMVA.2013.05.007zbMATH Open1279.62213OpenAlexW3123954278MaRDI QIDQ391808FDOQ391808

Authors: Deyuan Li, Hansheng Wang, Qingzhao Zhang 

Publication date: 13 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.2013.05.007

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zbMATH Keywords

approximate maximum likelihood estimationtail dependence index

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Maxima of normal random vectors: Between independence and complete dependence
• Statistics for near independence in multivariate extreme values
• Extreme value theory. An introduction.
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• Bivariate extreme statistics. I
• Nonparametric estimation of extreme conditional quantiles
• Estimation of high conditional quantiles for heavy-tailed distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multivariate generalized Pareto distributions
• Local Likelihood Smoothing of Sample Extremes
• Functional nonparametric estimation of conditional extreme quantiles
• Non-parametric Estimation of Tail Dependence
• The extremogram: a correlogram for extreme events
• Tail index regression
• Generalized Additive Modelling of Sample Extremes
• Estimating the conditional tail index by integrating a kernel conditional quantile estimator
• Conditional extremes from heavy-tailed distributions: an application to the estimation of extreme rainfall return levels
• On testing extreme value conditions
• Estimating the tail-dependence coefficient: properties and pitfalls
• Statistical models and methods for dependence in insurance data
• Variance Reduction in Multiparameter Likelihood Models
• Regression with response distributions of Pareto-type

Cited In (7)

• The simple econometrics of tail dependence
• Semiparametric Tail Index Regression
• Tail dependence of OLS
• Exceedance-based nonlinear regression of tail dependence
• Nonparametric estimation of the conditional tail copula
• Title not available (Why is that?)
• Heavy tails of OLS

Uses Software

• QRM

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