Local empirical processes near boundaries of convex bodies
Author
Abstract
Suggested Citation
DOI: 10.1007/s10463-007-0123-7
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
- 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.
- Einmahl, J.H.J., 1997. "Poisson and Gaussian approximation of weighted local empirical processes," Other publications TiSEM 07d934b9-2bd4-474a-bf32-f, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001. "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM c3485b9b-a0bd-456f-9baa-0, Tilburg University, School of Economics and Management.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Berthet, Philippe & Einmahl, John, 2020.
"Cube Root Weak Convergence of Empirical Estimators of a Density Level Set,"
Other publications TiSEM
69103be2-c944-4ca1-b9e1-2, Tilburg University, School of Economics and Management.
- Berthet, Philippe & Einmahl, John, 2020. "Cube Root Weak Convergence of Empirical Estimators of a Density Level Set," Discussion Paper 2020-015, Tilburg University, Center for Economic Research.
- Estate Khmaladze & Wolfgang Weil, 2018. "Fold-up derivatives of set-valued functions and the change-set problem: A Survey," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(1), pages 1-38, February.
- Khmaladze, Estáte V., 2013. "On the evolution of set-valued functions: An example," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 898-901.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Claudia Klüppelberg & Gabriel Kuhn & Liang Peng, 2008. "Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 701-718, December.
- Einmahl, John H.J. & de Haan, Laurens & Sinha, Ashoke Kumar, 1997.
"Estimating the spectral measure of an extreme value distribution,"
Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 143-171, October.
- J Einmahl, .H. & de Haan, L. & Sinha, A., 1997. "Estimating the spectral measure of an extreme value distribution," Other publications TiSEM ac22e123-1e5d-448a-981e-a, Tilburg University, School of Economics and Management.
- Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen, 2022. "Asymptotic analysis of portfolio diversification," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 302-325.
- Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Khmaladze, E.V., 2007.
"Central Limit Theorems For Local Emprical Processes Near Boundaries of Sets,"
Discussion Paper
2007-66, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & Khmaladze, E.V., 2007. "Central Limit Theorems For Local Emprical Processes Near Boundaries of Sets," Other publications TiSEM c4c26f2d-99d3-473f-9900-e, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2008.
"Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution,"
Other publications TiSEM
e9340b9a-fe69-4e77-8594-8, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2009. "Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution," Other publications TiSEM ffef2e15-c4a8-471f-b730-1, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Discussion Paper 2008-42, Tilburg University, Center for Economic Research.
- 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.
- Goix, Nicolas & Sabourin, Anne & Clémençon, Stephan, 2017. "Sparse representation of multivariate extremes with applications to anomaly detection," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 12-31.
- Barunik, Jozef & Vacha, Lukas, 2010.
"Monte Carlo-based tail exponent estimator,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4863-4874.
- Jozef Barunik & Lukas Vacha, 2010. "Monte Carlo-Based Tail Exponent Estimator," Working Papers IES 2010/06, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2010.
- Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
- John H. J. Einmahl & Fan Yang & Chen Zhou, 2021.
"Testing the Multivariate Regular Variation Model,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 907-919, October.
- Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Discussion Paper 2018-044, Tilburg University, Center for Economic Research.
- Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Other publications TiSEM dd3c4dd0-7181-40f3-af44-f, Tilburg University, School of Economics and Management.
- Fátima Brilhante, M. & Ivette Gomes, M. & Pestana, Dinis, 2013. "A simple generalisation of the Hill estimator," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 518-535.
- Igor Fedotenkov, 2020.
"A Review of More than One Hundred Pareto-Tail Index Estimators,"
Statistica, Department of Statistics, University of Bologna, vol. 80(3), pages 245-299.
- Fedotenkov, Igor, 2018. "A review of more than one hundred Pareto-tail index estimators," MPRA Paper 90072, University Library of Munich, Germany.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Ivanilda Cabral & Frederico Caeiro & M. Ivette Gomes, 2022. "On the comparison of several classical estimators of the extreme value index," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(1), pages 179-196, January.
- Fils-Villetard, A. & Guillou, A. & Segers, J., 2005. "Projection Estimates of Constrained Functional Parameters," Discussion Paper 2005-111, Tilburg University, Center for Economic Research.
- Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001. "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM c3485b9b-a0bd-456f-9baa-0, Tilburg University, School of Economics and Management.
- He, Xue-Zhong & Li, Youwei, 2015.
"Testing of a market fraction model and power-law behaviour in the DAX 30,"
Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
- Xue-Zhong He & Youwei Li, 2015. "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series 354, Quantitative Finance Research Centre, University of Technology, Sydney.
- Alexandra Ramos & Anthony Ledford, 2009. "A new class of models for bivariate joint tails," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(1), pages 219-241, January.
- 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.
- 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.
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2012. "An M-estimator for tail dependence in arbitrary dimensions," Other publications TiSEM 7d447c58-3e8f-4387-b36b-e, Tilburg University, School of Economics and Management.
- EINMAHL, John H.J. & KRAJINA, Andrea & Segers, Johan, 2011. "An M-Estimator For Tail Dependence In Arbitrary Dimensions," LIDAM Discussion Papers ISBA 2011005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Einmahl, J.H.J. & Krajina, A. & Segers, J., 2011. "An M-Estimator for Tail Dependence in Arbitrary Dimensions," Other publications TiSEM 27508aa0-9825-4d9e-b1f4-1, Tilburg University, School of Economics and Management.
- Einmahl, John H. J. & Krajina, Andrea & Segers, Johan, 2012. "An M-estimator for tail dependence in arbitrary dimensions," LIDAM Reprints ISBA 2012035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
More about this item
Keywords
Poisson point process; Convex body; Empirical process; Support measure; Normal cylinder; Change-set problem; Limit process;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:60:y:2008:i:4:p:813-842. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.