Local estimation of the conditional stable tail dependence function

Mikael Escobar-Bach, Yuri Goegebeur, Armelle Guillou

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

We consider the local estimation of the stable tail dependence function when a random covariate is observed together with the variables of main interest. Our estimator is a weighted version of the empirical estimator adapted to the covariate framework. We provide the main asymptotic properties of our estimator, when properly normalized, in particular the convergence of the empirical process towards a tight centred Gaussian process. The finite sample performance of our estimator is illustrated on a small simulation study and on a dataset of air pollution measurements.
Original languageEnglish
JournalScandinavian Journal of Statistics
Volume45
Issue number3
Pages (from-to)590-617
ISSN0303-6898
DOIs
Publication statusPublished - 2018

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Dependence Function
Tail Dependence
Estimator
Covariates
Empirical Estimator
Air Pollution
Empirical Process
Gaussian Process
Asymptotic Properties
Simulation Study
Tail dependence

Cite this

Escobar-Bach, Mikael ; Goegebeur, Yuri ; Guillou, Armelle. / Local estimation of the conditional stable tail dependence function. In: Scandinavian Journal of Statistics. 2018 ; Vol. 45, No. 3. pp. 590-617.
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Local estimation of the conditional stable tail dependence function. / Escobar-Bach, Mikael; Goegebeur, Yuri; Guillou, Armelle.

In: Scandinavian Journal of Statistics, Vol. 45, No. 3, 2018, p. 590-617.

Research output: Contribution to journalJournal articleResearchpeer-review

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