Results 1 to 10 of about 38 (38)

Stochastic orders of log-epsilon-skew-normal distributions

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2022
The log-epsilon-skew-normal distributions family is generalized class of log-normal distribution. Is widely used to model non-negative data in many areas of applied research.
Catana Luigi-Ionut
doaj   +1 more source

Stochastic orders for a multivariate Pareto distribution

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2021
In this article we give some theoretical results for equivalence between different stochastic orders of some kind multivariate Pareto distribution family.
Catana Luigi-Ionut
doaj   +1 more source

Multiplier bootstrap of tail copulas - with applications [PDF]

, 2011
In the problem of estimating the lower and upper tail copula we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas.
Dette, Holger, Bücher, Axel
core   +1 more source

New estimators of the Pickands dependence function and a test for extreme-value dependence [PDF]

, 2010
We propose a new class of estimators for Pickands dependence function which is based on the best L2-approximation of the logarithm of the copula by logarithms of extreme-value copulas.
Volgushev, Stanislav, Axel Bücher, Dette, Holger, Holger Dette, Bücher, Axel, Stanislav Volgushev   +5 more
core   +1 more source

Analysis of a change-point regression problem in quality control by partial sums processes and Kolmogorov type tests

, 2005
Primary 60G70, 62G10, 62G32, 62M02, secondary 60F10, 60G15, 62J05, Change-point problem, Quality control, Regression models, Partial sums processes, Signal-plus-noise model, Brownian motion with trend, Tests of Kolmogorov type, Extreme values, Large ...
Jürg Hüsler, Enkelejd Hashorva, Wolfgang Bischoff, Hashorva, Enkelejd, Hüsler, Jürg, Miller, Frank, Frank Miller, Bischoff, Wolfgang   +7 more
core   +1 more source

Stochastic ordering of discrete multivariate distributions. Algorithm in C++ with applications in the comparison of number of claims and extremes order statistics

Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica
In this article we present a stochastic ordering verification algorithm between multivariate discrete distributions implemented in the C++ programming language.
Catana Luigi-Ionut
doaj   +1 more source

Estimating Extreme Bivariate Quantile Regions [PDF]

, 2009
AMS 2000 subject classifications.
de Haan, L.F.M., Krajina, A., Einmahl, J.H.J.   +2 more
core  

Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution [PDF]

, 2008
AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13 ...
Einmahl, J.H.J., Segers, J.J.J.
core  

SFB 823 Nonparametric inference on Lévy measures and copulas Discussion Paper Nonparametric inference on Lévy measures and copulas

, 2020
In this paper nonparametric methods to assess the multivariate Lévy measure are introduced. Starting from high-frequency observations of a Lévy process X, we construct estimators for its tail integrals and the Pareto Lévy copula and prove weak ...
62m09, Axel Bücher, Mathias Vetter
core  

Bias reduction in risk modelling: Semi-parametric quantile estimation

Heavy tails, high quantiles, semi-parametric estimation, bias reduction, statistics of extremes, Primary 62G32, 62E20, Secondary 65C05,
M. Gomes, Fernanda Figueiredo
core   +1 more source