Local Estimation of the Conditional Stable Tail Dependence Function

DOI10.1111/SJOS.12315zbMath1402.62089OpenAlexW2532882987MaRDI QIDQ4685445

Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou

Publication date: 8 October 2018

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://portal.findresearcher.sdu.dk/da/publications/7555daa3-b1f4-4910-81bd-a7097373b3f0

zbMATH Keywords

empirical processstochastic convergenceconditional stable tail dependence function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

Related Items (8)

Conditional marginal expected shortfall ⋮ Extreme value estimation of the conditional risk premium in reinsurance ⋮ Bias correction in conditional multivariate extremes ⋮ A crossinggram for random fields on lattices ⋮ Robust estimation of the conditional stable tail dependence function ⋮ Local robust estimation of the Pickands dependence function ⋮ Bias-corrected estimation for conditional Pareto-type distributions with random right censoring ⋮ Nonparametric estimation of conditional marginal excess moments

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