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Multivariate Hill Estimators

Published:2015-10-29 Issue:1 Volume:85 Page:108-142
ISSN:0306-7734
Container-title:International Statistical Review
language:en
Short-container-title:International Statistical Review

Author:

Dominicy Yves¹,Ilmonen Pauliina²,Veredas David³

Affiliation:

1. Solvay Brussels School of Economics and Management; Université libre de Bruxelles, ECARES; Brussels Belgium

2. Department of Mathematics and Systems Analysis; Aalto University School of Science; Espoo Finland

3. Vlerick Business School and Ghent University; Gent Belgium

Funder

Fonds pour la Formation à la Recherche dans l’Industrie et dans l’Agriculture

Mandat de Chargé de Recherches FNRS

Communauté française de Belgique

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/insr.12120/fullpdf

Reference57 articles.

1. On some limit theorems similar to the arc-sin law;Breiman;Theory Probab. Appl.,1965

2. Minimum-variance reduced-bias tail index and high quantile estimation;Caeiro;REVSTAT Statistical Journal,2008

3. Estimation of extreme risk regions under multivariate regular variation;Cai;Ann. Statist.,2011

4. Central limit theorem and influence function for the MCD estimators at general multivariate distributions;Cator;Bernoulli,2012

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4. TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements;PLOS ONE;2023-01-03

5. Optimal tests for elliptical symmetry: Specified and unspecified location;Bernoulli;2021-11-01

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