Estimating the tail dependence function of an elliptical distribution

DOI10.3150/07-BEJ6047MaRDI QIDQ880485zbMATH OpenOpenAlexFDO

Authors Claudia Klüppelberg, Gabriel Kuhn, Liang Peng

Publication date 15 May 2007

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/07-bej6047

zbMATH Keywords

asymptotic normalityelliptical distributionregular variationtail dependence function

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

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Cited in

(33)

• A method of moments estimator of tail dependence
• Asymptotic properties of type I elliptical random vectors
• On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
• Goodness-of-fit test for tail copulas modeled by elliptical copulas
• Identifiability and estimation of meta-elliptical copula generators
• Tail dependence for elliptically contoured distributions
• Elliptical copulas: Applicability and limitations.
• Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
• Copula structure analysis based on extreme dependence
• Estimating asymptotic dependence functionals in multivariate regularly varying models
• On nonparametric tests of multivariate meta-ellipticity
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Extremes of weighted Dirichlet arrays
• Tail conditional moments for elliptical and log-elliptical distributions
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
• A method of moments estimator of tail dependence in meta-elliptical models
• Statistical models and methods for dependence in insurance data
• Estimating the probability of a rare event via elliptical copulas
• Tails of weakly dependent random vectors
• Discussion: Statistical models and methods for dependence in insurance data
• Multivariate Hill Estimators
• Tail dependence functions of two classes of bivariate skew distributions
• Measuring non-exchangeable tail dependence using tail copulas
• Smoothed jackknife empirical likelihood method for tail copulas
• Asymptotics of sum of heavy-tailed risks with copulas
• Conditional limit results for type I polar distributions
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• Maximum likelihood estimation of elliptical tail
• On Pearson-Kotz Dirichlet distributions
• Tail asymptotic results for elliptical distributions
• Bootstrap approximation of tail dependence function
• On the residual dependence index of elliptical distributions

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