Bias-corrected estimation of stable tail dependence function

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

*Kontaktforfatter for dette arbejde

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

Resumé

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.

OriginalsprogEngelsk
TidsskriftJournal of Multivariate Analysis
Vol/bind143
Udgave nummerC
Sider (fra-til)453-466
ISSN0047-259X
DOI
StatusUdgivet - 2016

Fingeraftryk

Dependence Function
Tail Dependence
Estimator
Asymptotic Behavior
Simulation Study
Alternatives
Tail dependence
Finite sample
Asymptotic behavior
Simulation study

Citer dette

Beirlant, Jan ; Escobar-Bach, Mikael ; Goegebeur, Yuri ; Guillou, Armelle. / Bias-corrected estimation of stable tail dependence function. I: Journal of Multivariate Analysis. 2016 ; Bind 143, Nr. C. s. 453-466.
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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",
doi = "10.1016/j.jmva.2015.10.006",
language = "English",
volume = "143",
pages = "453--466",
journal = "Journal of Multivariate Analysis",
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Beirlant, J, Escobar-Bach, M, Goegebeur, Y & Guillou, A 2016, 'Bias-corrected estimation of stable tail dependence function', Journal of Multivariate Analysis, bind 143, nr. C, s. 453-466. https://doi.org/10.1016/j.jmva.2015.10.006

Bias-corrected estimation of stable tail dependence function. / Beirlant, Jan; Escobar-Bach, Mikael; Goegebeur, Yuri; Guillou, Armelle.

I: Journal of Multivariate Analysis, Bind 143, Nr. C, 2016, s. 453-466.

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

TY - JOUR

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

VL - 143

SP - 453

EP - 466

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

SN - 0047-259X

IS - C

ER -

Beirlant J, Escobar-Bach M, Goegebeur Y, Guillou A. Bias-corrected estimation of stable tail dependence function. Journal of Multivariate Analysis. 2016;143(C):453-466. https://doi.org/10.1016/j.jmva.2015.10.006

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