Robust estimation of the conditional stable tail dependence function

DOI10.1007/s10463-022-00839-1zbMath1529.62063OpenAlexW4280629624MaRDI QIDQ6175804

Armelle Guillou, Jing Qin, Yuri Goegebeur

Publication date: 18 August 2023

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-022-00839-1

zbMATH Keywords

robustnessempirical processesstable tail dependence functionlocal estimationmultivariate extreme value statistics

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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