Stable tail dependence functions – some basic properties [PDF]
Dependence Modeling, 2022 We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs.
Ressel Paul
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Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application [PDF]
Dependence Modeling, 2021 The paper investigates the Hoeffding–Sobol decomposition of homogeneous co-survival functions. For this class, the Choquet representation is transferred to the terms of the functional decomposition, and in addition to their individual variances, or to ...
Mercadier Cécile, Ressel Paul
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Robust estimation of the conditional stable tail dependence function
Annals of the Institute of Statistical Mathematics, 2022 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.
Yuri Goegebeur +2 more
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Local Estimation of the Conditional Stable Tail Dependence Function [PDF]
Scandinavian Journal of Statistics, 2018 AbstractWe consider the local estimation of the stable tail dependence function when a random covariate is observed together with the variables of main interest. Our estimator is a weighted version of the empirical estimator adapted to the covariate framework.
Mikael Escobar‐Bach +2 more
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Bias-corrected and robust estimation of the bivariate stable tail dependence function [PDF]
TEST, 2016 We consider the estimation of the bivariate stable tail dependence function and propose a bias-corrected and robust estimator. We establish its asymptotic behavior under suitable assumptions. The finite sample performance of the proposed estimator is examined on a simulation study involving both uncontaminated and contaminated samples.
Mikael Escobar‐Bach +3 more
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An estimator of the stable tail dependence function based on the empirical beta copula [PDF]
Extremes, 2018 The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but superior finite-sample performance.
Anna Kiriliouk +2 more
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Bias-corrected estimation of stable tail dependence function
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jan Beirlant +3 more
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Copulas, stable tail dependence functions, and multivariate monotonicity
Dependence Modeling, 2019 For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale.
Ressel Paul
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Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function
Journal of Multivariate Analysis, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Holger Drees, Xin Huang
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Journal of Multivariate Analysis, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Paul Ressel
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