Research output per year
Research output per year
Yuri Goegebeur, Armelle Guillou*, Nguyen Khanh Le Ho, Jing Qin
Research output: Contribution to journal › Journal article › Research › 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.
Original language | English |
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Article number | 104607 |
Journal | Journal of Multivariate Analysis |
Volume | 178 |
Number of pages | 20 |
ISSN | 0047-259X |
DOIs | |
Publication status | Published - Jul 2020 |
Research output: Thesis › Ph.D. thesis