Asymptotically unbiased estimation of the coefficient of tail dependence
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Publication:4911972
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Cites work
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- A directory of coefficients of tail dependence
- A general class of estimators of the extreme value index
- A moment estimator for the index of an extreme-value distribution
- A moving window approach for nonparametric estimation of the conditional tail index
- A simple general approach to inference about the tail of a distribution
- A weighted mean excess function approach to the estimation of Weibull-type tails
- Asymptotic normality of linear combinations of order statistics with a smooth score function
- Bias reduction and explicit semi-parametric estimation of the tail index
- Bias-reduced estimators for bivariate tail modelling
- Bivariate tail estimation: dependence in asymptotic independence
- Estimating a tail exponent by modelling departure from a Pareto distribution
- Estimating tails of probability distributions
- Estimation of the coefficient of tail dependence in bivariate extremes
- Estimation of the Weibull tail-coefficient with linear combination of upper order statistics
- scientific article; zbMATH DE number 5668410 (Why is no real title available?)
- scientific article; zbMATH DE number 3471414 (Why is no real title available?)
- scientific article; zbMATH DE number 1026035 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- Kernel estimators for the second order parameter in extreme value statistics
- On Smooth Statistical Tail Functionals
- Reduced‐bias tail index estimation and the jackknife methodology
- Some comments on the estimation of a dependence index in bivariate extreme value statistics.
- Statistics for near independence in multivariate extreme values
- Tail index estimation and an exponential regression model
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
Cited in
(19)- Extreme quantile estimation for \(\beta\)-mixing time series and applications
- Bias-corrected and robust estimation of the bivariate stable tail dependence function
- Bias-reduced estimators for bivariate tail modelling
- Bias correction in multivariate extremes
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Estimating the tail-dependence coefficient: properties and pitfalls
- Measuring and comparing risks of different types
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- Robust and bias-corrected estimation of the probability of extreme failure sets
- Tail dependence measure for examining financial extreme co-movements
- Modeling of censored bivariate extremal events
- Tail-weighted dependence measures with limit being the tail dependence coefficient
- Interval estimation for a measure of tail dependence
- Optimal number of upper order statistics used in estimation for the coefficient of tail dependence
- scientific article; zbMATH DE number 7712507 (Why is no real title available?)
- Kernel estimator of extreme value index (EVI) and high quantiles for heavy-tailed distributions under dependence serials using the Box-Cox transformation
- Reduced-bias estimation of the residual dependence index with unspecified marginals
- Bias-corrected estimation of stable tail dependence function
- On the worst and least possible asymptotic dependence
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