A Euclidean Likelihood Estimator for Bivariate Tail Dependence

DOI10.1080/03610926.2012.709905MaRDI QIDQ4929181zbMATH OpenOpenAlexFDO

Authors Miguel De Carvalho, Boris Oumow, Johan Segers, 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

bivariate extremesempirical likelihoodEuclidean likelihoodspectral measurestatistics of extremes

Mathematics Subject Classification ID

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

Abstract: The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition. We propose a Euclidean likelihood-based estimator for the spectral measure which is simple and explicitly defined, with its expression being free of Lagrange multipliers. Our estimator is shown to have the same limit distribution as the maximum empirical likelihood estimator of J. H. J. Einmahl and J. Segers, Annals of Statistics 37(5B), 2953--2989 (2009). Numerical experiments suggest an overall good performance and identical behavior to the maximum empirical likelihood estimator. We illustrate the method in an extreme temperature data analysis.

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Cited in

(13)

• Bayesian Dirichlet mixture model for multivariate extremes: a re-parametrization
• Time-varying extreme value dependence with application to leading European stock markets
• 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
• 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
• Spectral density ratio models for multivariate extremes
• A modeler's guide to extreme value software
• Similarity-based clustering for patterns of extreme values
• Concentration bounds for the empirical angular measure with statistical learning applications
• Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion

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