An M-estimator for tail dependence in arbitrary dimensions
From MaRDI portal
(Redirected from Publication:693746)
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.
Recommendations
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 409721 (Why is no real title available?)
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A Mixture Model for Multivariate Extremes
- A construction principle for multivariate extreme value distributions
- A method of moments estimator of tail dependence
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Bivariate Exponential Distributions
- Bivariate extreme value theory: Models and estimation
- Common risk factors in the returns on stocks and bonds
- Concomitant tail behaviour for extremes
- Conditional sampling for spectrally discrete max-stable random fields
- Convergence of stochastic processes
- Extreme value theory. An introduction.
- Functional central limit theorems for processes with positive drift and their inverses
- Limit theory for multivariate sample extremes
- Parametric tail copula estimation and model testing
- Poisson and Gaussian approximation of weighted local empirical processes
- Statistics for near independence in multivariate extreme values
- Statistics of Extremes
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Understanding Relationships Using Copulas
Cited in
(46)- An estimator of the stable tail dependence function based on the empirical beta copula
- Multiplier bootstrap of tail copulas with applications
- When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
- Bias correction in multivariate extremes
- Tail dependence and smoothness of time series
- Identifying groups of variables with the potential of being large simultaneously
- Generalized Pareto copulas: a key to multivariate extremes
- Detecting Structural Differences in Tail Dependence of Financial Time Series
- Space-time trends and dependence of precipitation extremes in north-western Germany
- Nonparametric tests for constant tail dependence with an application to energy and finance
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Dense classes of multivariate extreme value distributions
- Tail density estimation for exploratory data analysis using kernel methods
- Estimation of multivariate tail quantities
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Spatial dependence and space-time trend in extreme events
- Multivariate peaks over thresholds models
- On second order conditions in the multivariate block maxima and peak over threshold method
- Bootstrap approximation of tail dependence function
- Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- An \(M\)-estimator of spatial tail dependence
- \(k\)-means clustering of extremes
- Empirical tail copulas for functional data
- Rank-based estimation under asymptotic dependence and independence, with applications to spatial extremes
- A method of moments estimator of tail dependence in meta-elliptical models
- A method of moments estimator of tail dependence
- Influence measures and robust estimators of dependence in multivariate extremes
- Modeling of censored bivariate extremal events
- Estimating an extreme Bayesian network via scalings
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
- Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
- The tail dependograph
- Max-stable processes and the functional \(D\)-norm revisited
- Multivariate generalized Pareto distributions: parametrizations, representations, and properties
- Concentration bounds for the empirical angular measure with statistical learning applications
- Estimation of the tail exponent of multivariate regular variation
- Multivariate directional tail-weighted dependence measures
- Cross-validation on extreme regions
- A horse race between the block maxima method and the peak-over-threshold approach
- Upper bounds on value-at-risk for the maximum portfolio loss
- Extremes of multivariate ARMAX processes
- CRPS M-estimation for max-stable models
- Sparse representation of multivariate extremes with applications to anomaly detection
- Tail dependence functions of two classes of bivariate skew distributions
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)
