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Nonparametric estimation of the spectral measure of an extreme value distribution


Author Info

  • Einmahl, J.H.J.

    (Tilburg University)

  • Haan, L.F.M. de

    (Tilburg University)

  • Piterbarg, V.I.


No abstract is available for this item.

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-86982.

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Date of creation: 2001
Date of revision:
Publication status: Published in Annals of Statistics (2001) v.29, p.1401-1423
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-86982

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  1. 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.
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Cited by:
  1. Fils-Villetard, A. & Guillou, A. & Segers, J., 2005. "Projection Estimates of Constrained Functional Parameters," Discussion Paper 2005-111, Tilburg University, Center for Economic Research.
  2. Estate Khmaladze & Wolfgang Weil, 2008. "Local empirical processes near boundaries of convex bodies," Annals of the Institute of Statistical Mathematics, Springer, vol. 60(4), pages 813-842, December.
  3. Cooley, Daniel & Davis, Richard A. & Naveau, Philippe, 2010. "The pairwise beta distribution: A flexible parametric multivariate model for extremes," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2103-2117, October.
  4. Einmahl, J.H.J. & Haan, L.F.M. de & Li, D., 2004. "Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition," Discussion Paper 2004-71, Tilburg University, Center for Economic Research.
  5. 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.
  6. Zhang, Dabao & Wells, Martin T. & Peng, Liang, 2008. "Nonparametric estimation of the dependence function for a multivariate extreme value distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 577-588, April.
  7. Basrak, Bojan & Segers, Johan, 2009. "Regularly varying multivariate time series," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1055-1080, April.
  8. Georg Mainik & Ludger Rüschendorf, 2010. "On optimal portfolio diversification with respect to extreme risks," Finance and Stochastics, Springer, vol. 14(4), pages 593-623, December.
  9. Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2916-2930, November.


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