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A Euclidean Likelihood Estimator for Bivariate Tail Dependence

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  • de Carvalho, Miguel
  • Oumow, Boris
  • Segers, Johan
  • Warchol, Michal

Abstract

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Suggested Citation

  • de Carvalho, Miguel & Oumow, Boris & Segers, Johan & Warchol, Michal, 2013. "A Euclidean Likelihood Estimator for Bivariate Tail Dependence," LIDAM Reprints ISBA 2013008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2013008
    Note: In : Communications in Statistics: Theory and Methods, vol. 42, no. 7, p. 1176-1192 (2013)
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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. Kiriliouk, Anna & Segers, Johan & Warchol, Michal, 2014. "Nonparametric estimation of extremal dependence," LIDAM Discussion Papers ISBA 2014044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Daniela Castro Camilo & Miguel de Carvalho & Jennifer Wadsworth, 2017. "Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets," Papers 1709.01198, arXiv.org.
    4. Khader Khadraoui & Pierre Ribereau, 2019. "Bayesian Inference with M-splines on Spectral Measure of Bivariate Extremes," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 765-788, September.

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