An M-estimator for tail dependence in arbitrary dimensions
From MaRDI portal
Publication:693746
DOI10.1214/12-AOS1023zbMATH Open1257.62058arXiv1112.0905MaRDI QIDQ693746FDOQ693746
Authors: John H. J. Einmahl, Andrea Krajina, Johan Segers 
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
Recommendations
Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)
Cites Work
- Statistics for near independence in multivariate extreme values
- Statistics of Extremes
- Extreme value theory. An introduction.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Convergence of stochastic processes
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Conditional sampling for spectrally discrete max-stable random fields
- Bivariate Exponential Distributions
- Title not available (Why is that?)
- A Mixture Model for Multivariate Extremes
- Common risk factors in the returns on stocks and bonds
- Understanding Relationships Using Copulas
- A construction principle for multivariate extreme value distributions
- Functional central limit theorems for processes with positive drift and their inverses
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Concomitant tail behaviour for extremes
- Bivariate extreme value theory: Models and estimation
- Title not available (Why is that?)
- Parametric tail copula estimation and model testing
- A method of moments estimator of tail dependence
- Limit theory for multivariate sample extremes
- Poisson and Gaussian approximation of weighted local empirical processes
Cited In (45)
- Dense classes of multivariate extreme value distributions
- Modeling of censored bivariate extremal events
- Generalized Pareto copulas: a key to multivariate extremes
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Extremes of multivariate ARMAX processes
- Identifying groups of variables with the potential of being large simultaneously
- Estimating an extreme Bayesian network via scalings
- Sparse representation of multivariate extremes with applications to anomaly detection
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- A method of moments estimator of tail dependence
- Spatial dependence and space-time trend in extreme events
- A method of moments estimator of tail dependence in meta-elliptical models
- Multivariate peaks over thresholds models
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Bias correction in multivariate extremes
- Multivariate directional tail-weighted dependence measures
- An estimator of the stable tail dependence function based on the empirical beta copula
- When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
- Detecting Structural Differences in Tail Dependence of Financial Time Series
- Space-time trends and dependence of precipitation extremes in north-western Germany
- Bootstrap approximation of tail dependence function
- Concentration bounds for the empirical angular measure with statistical learning applications
- Estimation of multivariate tail quantities
- \(k\)-means clustering of extremes
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Tail dependence and smoothness of time series
- Empirical tail copulas for functional data
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- Influence measures and robust estimators of dependence in multivariate extremes
- Cross-validation on extreme regions
- Tail dependence functions of two classes of bivariate skew distributions
- Upper bounds on value-at-risk for the maximum portfolio loss
- CRPS M-estimation for max-stable models
- On second order conditions in the multivariate block maxima and peak over threshold method
- The tail dependograph
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Tail density estimation for exploratory data analysis using kernel methods
- A horse race between the block maxima method and the peak-over-threshold approach
- Estimation of the tail exponent of multivariate regular variation
- Multiplier bootstrap of tail copulas with applications
- Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
- Max-stable processes and the functional \(D\)-norm revisited
- Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
Uses Software
This page was built for publication: An M-estimator for tail dependence in arbitrary dimensions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693746)
