Robust estimation of the conditional stable tail dependence function

被引:1
|
作者
Goegebeur, Yuri [1 ]
Guillou, Armelle [2 ,3 ]
Qin, Jing [1 ]
机构
[1] Univ Southern Denmark, Dept Math & Comp Sci, Campusvej 55, DK-5230 Odense M, Denmark
[2] Univ Strasbourg, Inst Rech Math Avancee, UMR 7501, 7 Rue Rene Descartes, F-67084 Strasbourg, France
[3] CNRS, 7 Rue Rene Descartes, F-67084 Strasbourg, France
关键词
Empirical processes; Local estimation; Multivariate extreme value statistics; Robustness; Stable tail dependence function; UNIFORM CONSISTENCY; BIAS; RATES;
D O I
10.1007/s10463-022-00839-1
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We propose a robust estimator of the stable tail dependence function in the case where random covariates are recorded. Under suitable assumptions, we derive the finite-dimensional weak convergence of the estimator properly normalized. The performance of our estimator in terms of efficiency and robustness is illustrated through a simulation study. Our methodology is applied on a real dataset of sale prices of residential properties.
引用
收藏
页码:201 / 231
页数:31
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