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Empirical Tail Copulas for Functional Data

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  • Einmahl, John

    (Tilburg University, Center For Economic Research)

  • Segers, Johan

Abstract

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Suggested Citation

  • Einmahl, John & Segers, Johan, 2020. "Empirical Tail Copulas for Functional Data," Discussion Paper 2020-004, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:edc722e6-cc70-4221-87a2-8493156e1ab3
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    as
    1. Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non‐parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335, June.
    2. 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.
    3. Einmahl, J.H.J. & Gantner, M. & Sawitzki, G., 2008. "The Shorth Plot," Other publications TiSEM 10b5cfb5-c502-46dc-8e51-5, Tilburg University, School of Economics and Management.
    4. 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.
    5. Einmahl, John & Kiriliouk, Anna & Segers, Johan, 2016. "A continuous updating weighted least squares estimator of tail dependence in high dimensions," LIDAM Discussion Papers ISBA 2016002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Einmahl, J.H.J. & Lin, T., 2006. "Asymptotic normality of extreme value estimators on C[0,1]," Other publications TiSEM 42acb0aa-ff83-4499-8f20-d, Tilburg University, School of Economics and Management.
    7. Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Other publications TiSEM a3e7350b-4773-4bd8-9c3c-6, Tilburg University, School of Economics and Management.
    8. Clément Dombry & Mathieu Ribatet & Stilian Stoev, 2018. "Probabilities of Concurrent Extremes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(524), pages 1565-1582, October.
    9. Einmahl, J.H.J. & Gantner, M. & Sawitzki, G., 2008. "The Shorth Plot," Other publications TiSEM 10b5cfb5-c502-46dc-8e51-5, Tilburg University, School of Economics and Management.
    10. Einmahl, J.H.J. & Lin, T., 2003. "Asymptotic Normality of Extreme Value Estimators on C[0,1]," Other publications TiSEM 9565e7d8-72fd-4de8-8643-b, Tilburg University, School of Economics and Management.
    11. 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.
    12. Chiapino, Mael & Sabourin, Anne & Segers, Johan, 2019. "Identifying groups of variables with the potential of being large simultaneously," LIDAM Reprints ISBA 2019021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
    14. 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.
    15. Peng, Liang & Qi, Yongcheng, 2008. "Bootstrap approximation of tail dependence function," Journal of Multivariate Analysis, Elsevier, vol. 99(8), pages 1807-1824, September.
    16. Einmahl, J.H.J. & Lin, T., 2003. "Asymptotic Normality of Extreme Value Estimators on C[0,1]," Other publications TiSEM 9565e7d8-72fd-4de8-8643-b, Tilburg University, School of Economics and Management.
    17. Ressel, Paul, 2013. "Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 246-256.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    extreme value statistics; functional data; tail empirical process; tal dependence; tial copula estimation; uniform asymptotic normality;
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