MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR
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Publication:5398351
DOI10.1017/asb.2013.13zbMath1284.91592MaRDI QIDQ5398351
Tilo Nguyen, Gennady Samorodnitsky
Publication date: 27 February 2014
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6ee8c53b9a60b30f40b03a6816587d989824e318
62H12: Estimation in multivariate analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62G32: Statistics of extreme values; tail inference
Cites Work
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- Beta kernel estimators for density functions
- Estimating a multidimensional extreme-value distribution
- Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
- Tail inference: where does the tail begin?
- Selecting the optimal sample fraction in univariate extreme value estimation
- Statistics for near independence in multivariate extreme values
- Estimating the limit distribution of multivariate extremes
- Heavy-Tail Phenomena
- Using a bootstrap method to choose the sample fraction in tail index estimation