Publikationer pr. år
Publikationer pr. år
Yuri Goegebeur, Armelle Guillou*, Nguyen Khanh Le Ho, Jing Qin
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
We consider robust and nonparametric estimation of the coefficient of tail dependence in presence of random covariates. The estimator is obtained by fitting the extended Pareto distribution locally to properly transformed bivariate observations using the minimum density power divergence criterion. We establish convergence in probability and asymptotic normality of the proposed estimator under some regularity conditions. The finite sample performance is evaluated with a small simulation experiment, and the practical applicability of the method is illustrated on a real dataset of air pollution measurements.
Originalsprog | Engelsk |
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Artikelnummer | 104607 |
Tidsskrift | Journal of Multivariate Analysis |
Vol/bind | 178 |
Antal sider | 20 |
ISSN | 0047-259X |
DOI | |
Status | Udgivet - jul. 2020 |
Publikation: Afhandling › Ph.d.-afhandling