An M-estimator for tail dependence in arbitrary dimensions
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Publication:693746
DOI10.1214/12-AOS1023zbMATH Open1257.62058arXiv1112.0905MaRDI QIDQ693746FDOQ693746
Johan Segers, John H. J. Einmahl, Andrea Krajina
Publication date: 10 December 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model. A new estimator for the unknown parameter is defined as the value that minimizes the distance between a vector of weighted integrals of the tail dependence function and their empirical counterparts. The minimization problem has, with probability tending to one, a unique, global solution. The estimator is consistent and asymptotically normal. The spectral measures of the tail dependence models to which the method applies can be discrete or continuous. Examples demonstrate the applicability and the performance of the method.
Full work available at URL: https://arxiv.org/abs/1112.0905
Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)
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