Bias-corrected estimation of stable tail dependence function

Jan Beirlant; Mikael Escobar-Bach; Yuri Goegebeur; Armelle Guillou

doi:10.1016/j.jmva.2015.10.006

Bias-corrected estimation of stable tail dependence function

Jan Beirlant, Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou^*

^*Kontaktforfatter

Institut for Matematik og Datalogi

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.

Originalsprog	Engelsk
Tidsskrift	Journal of Multivariate Analysis
Vol/bind	143
Udgave nummer	C
Sider (fra-til)	453-466
ISSN	0047-259X
DOI	https://doi.org/10.1016/j.jmva.2015.10.006
Status	Udgivet - 2016

Dokumenter og links

10.1016/j.jmva.2015.10.006

https://hal.archives-ouvertes.fr/hal-01115538/document

SDU link

Tjek adgangen til materialet i Syddansk Universitetsbiblioteks søgemaskine

1 Ph.d.-afhandling

Estimation of Dependence Structure for Multivariate Extremes
Bidragets oversatte titel: Estimation af Afhængighedsstruktur for Multivariate EkstremerEscobar-Bach, M., 31. aug. 2017, Syddansk Universitet. Det Naturvidenskabelige Fakultet. 166 s.
Publikation: Afhandling › Ph.d.-afhandling

Citationsformater

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title = "Bias-corrected estimation of stable tail dependence function",

abstract = "We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.",

keywords = "62G05, 62G20, 62G32, Bias correction, Multivariate extreme value statistics, Stable tail dependence function",

author = "Jan Beirlant and Mikael Escobar-Bach and Yuri Goegebeur and Armelle Guillou",

year = "2016",

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T1 - Bias-corrected estimation of stable tail dependence function

AU - Beirlant, Jan

AU - Escobar-Bach, Mikael

AU - Goegebeur, Yuri

AU - Guillou, Armelle

PY - 2016

Y1 - 2016

N2 - We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.

AB - We consider the estimation of the stable tail dependence function. We propose a bias-corrected estimator and we establish its asymptotic behaviour under suitable assumptions. The finite sample performance of the proposed estimator is evaluated by means of an extensive simulation study where a comparison with alternatives from the recent literature is provided.

KW - 62G05

KW - 62G20

KW - 62G32

KW - Bias correction

KW - Multivariate extreme value statistics

KW - Stable tail dependence function

U2 - 10.1016/j.jmva.2015.10.006

DO - 10.1016/j.jmva.2015.10.006

M3 - Journal article

AN - SCOPUS:84946771759

SN - 0047-259X

VL - 143

SP - 453

EP - 466

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

IS - C

ER -

Bias-corrected estimation of stable tail dependence function

Abstract

Dokumenter og links

SDU link

Fingeraftryk

Relaterede publikationer

Estimation of Dependence Structure for Multivariate Extremes

Citationsformater