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Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

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Author Info

  • Einmahl, J.H.J.
  • Segers, J.J.J.

    (Tilburg University, Center for Economic Research)

Abstract

AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2008-42.

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Date of creation: 2008
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Handle: RePEc:dgr:kubcen:200842

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Web page: http://center.uvt.nl

Related research

Keywords: functional central limit theorem; local empirical process; moment constraint; multivariate extremes; nonparametric maximum likelihood estimator; tail dependence;

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References

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  1. Einmahl, J.H.J. & Haan, L.F.M. de & Li, D., 2006. "Weighted approximations of tail copula processes with applications to testing the bivariate extreme value condition," Open Access publications from Tilburg University urn:nbn:nl:ui:12-174864, Tilburg University.
  2. Einmahl, J.H.J., 1997. "Poisson and Gaussian approximation of weighted local empirical processes," Open Access publications from Tilburg University urn:nbn:nl:ui:12-125732, Tilburg University.
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Cited by:
  1. Sabourin, Anne & Naveau, Philippe, 2014. "Bayesian Dirichlet mixture model for multivariate extremes: A re-parametrization," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 542-567.
  2. Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 37-47, January.
  3. Holger Drees, 2012. "Extreme value analysis of actuarial risks: estimation and model validation," AStA Advances in Statistical Analysis, Springer, vol. 96(2), pages 225-264, June.
  4. Deyuan Li & Liang Peng & Yongcheng Qi, 2011. "Empirical likelihood confidence intervals for the endpoint of a distribution function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 20(2), pages 353-366, August.
  5. Einmahl, J.H.J. & Haan, L.F.M. de & Krajina, A., 2009. "Estimating Extreme Bivariate Quantile Regions," Discussion Paper 2009-29, Tilburg University, Center for Economic Research.

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