A Euclidean Likelihood Estimator for Bivariate Tail Dependence

DOI10.1080/03610926.2012.709905zbMath1347.62075arXiv1204.3524OpenAlexW2154446794MaRDI QIDQ4929181

Miguel de Carvalho, Johan Segers, Boris Oumow, Michał Warchoł

Publication date: 13 June 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3524

zbMATH Keywords

spectral measureempirical likelihoodstatistics of extremesbivariate extremesEuclidean likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

Related Items (10)

Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization ⋮ Time-varying extreme value dependence with application to leading European stock markets ⋮ Spectral Density Ratio Models for Multivariate Extremes ⋮ A modeler's guide to extreme value software ⋮ Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines ⋮ Tail density estimation for exploratory data analysis using kernel methods ⋮ Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes ⋮ Robust quantile estimation under bivariate extreme value models ⋮ Extreme value analysis of multivariate high-frequency wind speed data ⋮ The spectrogram: a threshold-based inferential tool for extremes of stochastic processes

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