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
相关论文
共 50 条
  • [41] Robust conditional Weibull-type estimation
    Goegebeur, Yuri
    Guillou, Armelle
    Rietsch, Theo
    ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2015, 67 (03) : 479 - 514
  • [42] On the conditional conservatism measure: A robust estimation approach
    Kim, Seil
    Ohlson, James A.
    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 2018, 45 (3-4) : 395 - 409
  • [43] CONDITIONAL CORRELATION ESTIMATION AND SERIAL DEPENDENCE IDENTIFICATION
    Institute of Mathematics, Jagiellonian University, S. Lojasiewicza 6, Kraków
    30-348, Poland
    不详
    50-370, Poland
    arXiv,
  • [44] ESTIMATION OF HIGH CONDITIONAL TAIL RISK BASED ON EXPECTILE REGRESSION
    Hu, Jie
    Chen, Yu
    Tan, Keqi
    ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION, 2021, 51 (02) : 539 - 570
  • [45] A moving window approach for nonparametric estimation of the conditional tail index
    Gardes, Laurent
    Girard, Stephane
    JOURNAL OF MULTIVARIATE ANALYSIS, 2008, 99 (10) : 2368 - 2388
  • [46] Estimation of the conditional tail moment for Weibull-type distributions
    Goegebeur, Yuri
    Guillou, Armelle
    Qin, Jing
    SCANDINAVIAN JOURNAL OF STATISTICS, 2024, 51 (04) : 1782 - 1815
  • [47] Robust Estimator of Conditional Tail Expectation of Pareto-Type Distribution
    Dalal Lala Bouali
    Fatah Benatia
    Brahim Brahimi
    Christophe Chesneau
    Journal of Statistical Theory and Practice, 2021, 15
  • [48] Robust Estimator of Conditional Tail Expectation of Pareto-Type Distribution
    Bouali, Dalal Lala
    Benatia, Fatah
    Brahimi, Brahim
    Chesneau, Christophe
    JOURNAL OF STATISTICAL THEORY AND PRACTICE, 2021, 15 (01)
  • [49] Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization
    Gardes, Laurent
    Girard, Stephane
    Stupfler, Gilles
    SCANDINAVIAN JOURNAL OF STATISTICS, 2020, 47 (03) : 922 - 949
  • [50] Estimating the tail dependence function of an elliptical distribution
    Klueppelberg, Claudia
    Kuhn, Gabriel
    Peng, Liang
    BERNOULLI, 2007, 13 (01) : 229 - 251