Diagnostics for Dependence within Time Series Extremes

Autor: Ledford, Anthony W., Tawn, Jonathan A.

Publikováno v: Journal of the Royal Statistical Society. Series B (Statistical Methodology), 2003 Jan 01. 65(2), 521-543.

Externí odkaz: https://www.jstor.org/stable/3647519

Comparison of Approaches for Estimating the Probability of Coastal Flooding

Autor: Bruun, John T., Tawn, Jonathan A.

Publikováno v: Journal of the Royal Statistical Society. Series C (Applied Statistics), 1998 Jan 01. 47(3), 405-423.

Externí odkaz: https://www.jstor.org/stable/2986106

Statistics for Near Independence in Multivariate Extreme Values

Autor: ledford, Anthony W., Tawn, Jonathan A.

Publikováno v: Biometrika, 1996 Mar 01. 83(1), 169-187.

Externí odkaz: https://www.jstor.org/stable/2337440

Limit Laws for Random Vectors with an Extreme Component

Autor: Heffernan, Janet E., Resnick, Sidney I.

Publikováno v: The Annals of Applied Probability, 2007 Apr 01. 17(2), 537-571.

Externí odkaz: https://www.jstor.org/stable/25442853

Robust nonparametric estimation of the conditional tail dependence coefficient

Autor: Jing Qin, Nguyen Khanh Le Ho, Armelle Guillou, Yuri Goegebeur

Publikováno v: Goegebeur, Y, Guillou, A, Ho, N K L & Qin, J 2020, ' Robust nonparametric estimation of the conditional tail dependence coefficient ', Journal of Multivariate Analysis, vol. 178, 104607 . https://doi.org/10.1016/j.jmva.2020.104607
Journal of Multivariate Analysis
Journal of Multivariate Analysis, Elsevier, 2020, 178, ⟨10.1016/j.jmva.2020.104607⟩

International audience; We consider robust and nonparametric estimation of the coefficient of tail dependence in presence of random covariates. The estimator is obtained by fitting the extended Pareto distribution locally to properly transformed biva

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0a1bd89f25c038003949a73bba12b2d3
https://portal.findresearcher.sdu.dk/da/publications/c880ae76-82ea-4a41-b08d-ac611e0402a7