Robust nonparametric estimation of the conditional tail dependence coefficient
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Cites work
- scientific article; zbMATH DE number 5668410 (Why is no real title available?)
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- A robust estimator for the tail index of Pareto-type distributions
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- Empirical processes indexed by estimated functions
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- Estimation of a tail index based on minimum density power divergence
- Estimation of the coefficient of tail dependence in bivariate extremes
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- Kernel estimators of extreme level curves
- Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
- Local robust estimation of the Pickands dependence function
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- On the Tail Behavior of Sums of Dependent Risks
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- Robust and bias-corrected estimation of the coefficient of tail dependence
- Robust and bias-corrected estimation of the probability of extreme failure sets
- Robust and efficient estimation by minimising a density power divergence
- Robust and efficient estimation for the generalized Pareto distribution
- Robust conditional Weibull-type estimation
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- Statistics of Extremes
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Cited in
(10)- Estimation of Copulas via Maximum Mean Discrepancy
- Robust and bias-corrected estimation of the coefficient of tail dependence
- Nonparametric estimation of the tail-dependence coefficient
- Local robust estimation of the Pickands dependence function
- Nonparametric estimation of the conditional tail copula
- Robust estimation of the Pickands dependence function under random right censoring
- Approximate Bayesian conditional copulas
- scientific article; zbMATH DE number 5791327 (Why is no real title available?)
- Robust conditional Weibull-type estimation
- Robust estimation of the conditional stable tail dependence function
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