Semi-parametric approximation of Kendall's distribution function and multivariate return periods

MaRDI QIDQ5262088zbMATHFDO

Authors G. Salvadori, Fabrizio Durante, Elisa Perrone

Publication date 13 July 2015

Full work available at URL http://journal-sfds.fr/article/view/161/

zbMATH Keywords

risk assessmentcopulasKendall's distribution functionmultivariate return periods

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Geostatistics (86A32)

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Cited in

(6)

• Nonparametric estimation of multivariate quantiles
• On the length of copula level curves
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
• Bivariate return periods via 2-copulas
• Estimation of extreme quantiles conditioning on multivariate critical layers
• A multivariate quantile based on Kendall ordering

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