A method of moments estimator of tail dependence in meta-elliptical models

DOI10.1016/J.JSPI.2012.01.020MaRDI QIDQ419290zbMATH OpenOpenAlexFDO

Authors Andrea Krajina

Publication date 18 May 2012

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2012.01.020

zbMATH Keywords

asymptotic normalityelliptical distributionssemi-parametric modelelliptical copulas

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• A method of moments estimator of tail dependence
• Estimating the tail dependence function of an elliptical distribution
• Identifiability and estimation of meta-elliptical copula generators
• An M-estimator for tail dependence in arbitrary dimensions
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case

Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 45785 (Why is no real title available?)
• scientific article; zbMATH DE number 47948 (Why is no real title available?)
• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• scientific article; zbMATH DE number 2118489 (Why is no real title available?)
• scientific article; zbMATH DE number 3049708 (Why is no real title available?)
• A NEW MEASURE OF RANK CORRELATION
• A method of moments estimator of tail dependence
• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Estimating tails of probability distributions
• Estimating the tail dependence function of an elliptical distribution
• Extreme behavior of bivariate elliptical distributions
• Extreme behaviour for bivariate elliptical distributions
• Extreme value theory. An introduction.
• Extremes of asymptotically spherical and elliptical random vectors
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• Multivariate extremes, aggregation and dependence in elliptical distributions
• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Statistics of Extremes
• Tail Conditional Expectations for Elliptical Distributions
• The meta-elliptical distributions with given marginals
• The t Copula and Related Copulas
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

Cited in

(6)

• Bias correction in multivariate extremes
• Statistical procedures for the selection of a multidimensional meta-elliptical distribution
• A method of moments estimator of tail dependence
• Multivariate Hill Estimators
• Estimating the tail dependence function of an elliptical distribution
• Identifiability and estimation of meta-elliptical copula generators

This page was built for publication: A method of moments estimator of tail dependence in meta-elliptical models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q419290)