Estimation of conditional laws given an extreme component
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Publication:906629
DOI10.1007/s10687-010-0122-6zbMath1329.62164arXiv0806.2426MaRDI QIDQ906629
Anne-Laure Fougères, Philippe Soulier
Publication date: 22 January 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0806.2426
semiparametric estimation; extreme value theory; conditional distributions; nonparametric estimation
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
62G32: Statistics of extreme values; tail inference
60F17: Functional limit theorems; invariance principles
Related Items
On conditional extreme values of random vectors with polar representation, Transition kernels and the conditional extreme value model, Geostatistics of dependent and asymptotically independent extremes, Conditioning on an extreme component: model consistency with regular variation on cones, Detecting a conditional extreme value model, Extremal characteristics of conditional models, Hidden Regular Variation and Detection of Hidden Risks, Limit Conditional Distributions for Bivariate Vectors with Polar Representation
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