Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution
AbstractAMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2008-42.
Date of creation: 2008
Date of revision:
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functional central limit theorem; local empirical process; moment constraint; multivariate extremes; nonparametric maximum likelihood estimator; tail dependence;
Other versions of this item:
- Einmahl, J.H.J. & Segers, J.J.J., 2009. "Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3240401, Tilburg University.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- 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.
- Einmahl, John H. J., 1997. "Poisson and Gaussian approximation of weighted local empirical processes," Stochastic Processes and their Applications, Elsevier, vol. 70(1), pages 31-58, October.
- 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.
- 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.
- 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.
- 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.
- 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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