Robust estimation of the conditional stable tail dependence function

DOI10.1007/S10463-022-00839-1MaRDI QIDQ6175804zbMATH OpenOpenAlexFDO

Authors Yuri Goegebeur, Armelle Guillou, Jing Qin

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

empirical processeslocal estimationmultivariate extreme value statisticsrobustnessstable tail dependence function

Mathematics Subject Classification ID

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

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Cited in

(3)

• Local Estimation of the Conditional Stable Tail Dependence Function
• Tail mean and related robust solution concepts
• Estimating POT second-order parameter for bias correction

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