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.
机构:
INRIA Rhone Alpes, Team Mistis, F-38334 Montbonnot St Martin, St Ismier, FranceINRIA Rhone Alpes, Team Mistis, F-38334 Montbonnot St Martin, St Ismier, France
Gardes, Laurent
Girard, Stephane
论文数: 0引用数: 0
h-index: 0
机构:
INRIA Rhone Alpes, Team Mistis, F-38334 Montbonnot St Martin, St Ismier, FranceINRIA Rhone Alpes, Team Mistis, F-38334 Montbonnot St Martin, St Ismier, France