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^*

^*Corresponding author for this work

Department of Mathematics and Computer Science

Research output: Contribution to journal › Journal article › Research › 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.

Original language	English
Journal	Journal of Multivariate Analysis
Volume	143
Issue number	C
Pages (from-to)	453-466
ISSN	0047-259X
DOIs	https://doi.org/10.1016/j.jmva.2015.10.006
Publication status	Published - 2016

Keywords

62G05
62G20
62G32
Bias correction
Multivariate extreme value statistics
Stable tail dependence function

Documents & Links

10.1016/j.jmva.2015.10.006

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

Cite this

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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",

issn = "0047-259X",

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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

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

Keywords

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