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An M-estimator of spatial tail dependence

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  • John H. J. Einmahl
  • Anna Kiriliouk
  • Andrea Krajina
  • Johan Segers

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  • John H. J. Einmahl & Anna Kiriliouk & Andrea Krajina & Johan Segers, 2016. "An M-estimator of spatial tail dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 275-298, January.
  • Handle: RePEc:bla:jorssb:v:78:y:2016:i:1:p:275-298
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    File URL: http://hdl.handle.net/10.1111/rssb.12114
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    References listed on IDEAS

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    1. R. Huser & A. C. Davison, 2014. "Space–time modelling of extreme events," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(2), pages 439-461, March.
    2. Einmahl, J.H.J. & Krajina, A. & Segers, J.J.J., 2007. "A Method of Moments Estimator of Tail Dependence," Discussion Paper 2007-80, Tilburg University, Center for Economic Research.
    3. Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
    4. Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Discussion Paper 2011-013, Tilburg University, Center for Economic Research.
    5. R. Huser & A. C. Davison, 2013. "Composite likelihood estimation for the Brown--Resnick process," Biometrika, Biometrika Trust, vol. 100(2), pages 511-518.
    6. Jennifer L. Wadsworth & Jonathan A. Tawn, 2014. "Efficient inference for spatial extreme value processes associated to log-Gaussian random functions," Biometrika, Biometrika Trust, vol. 101(1), pages 1-15.
    7. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    8. Richard A. Davis & Claudia Klüppelberg & Christina Steinkohl, 2013. "Statistical inference for max-stable processes in space and time," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(5), pages 791-819, November.
    9. Padoan, S. A. & Ribatet, M. & Sisson, S. A., 2010. "Likelihood-Based Inference for Max-Stable Processes," Journal of the American Statistical Association, American Statistical Association, vol. 105(489), pages 263-277.
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    1. repec:oup:biomet:v:105:y:2018:i:3:p:575-592. is not listed on IDEAS

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