On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation

Bernoulli ◽

10.3150/20-bej1306 ◽

2021 ◽

Vol 27 (4) ◽

Author(s):

Thimo M. Kasper ◽

Sebastian Fuchs ◽

Wolfgang Trutschnig

Keyword(s):

Nonparametric Estimation ◽

Extreme Value ◽

Conditional Convergence

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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.2147760 ◽

2011 ◽

Author(s):

Ryan Brauchler

Keyword(s):

At Risk ◽

Nonparametric Estimation ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Expected Shortfall

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Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

Journal of Multivariate Analysis ◽

10.1006/jmva.2000.1931 ◽

2001 ◽

Vol 76 (2) ◽

pp. 159-191 ◽

Author(s):

Javier Rojo Jiménez ◽

Enrique Villa-Diharce ◽

Miguel Flores

Keyword(s):

Nonparametric Estimation ◽

Extreme Value ◽

Extreme Value Distributions ◽

Dependence Function

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A nonparametric estimation procedure for bivariate extreme value copulas

10.1093/biomet/84.3.567 ◽

1997 ◽

Vol 84 (3) ◽

pp. 567-577 ◽

Author(s):

P Caperaa

Keyword(s):

Nonparametric Estimation ◽

Estimation Procedure ◽

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Nonparametric estimation of the dependence function for a multivariate extreme value distribution

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2006.09.011 ◽

2008 ◽

Vol 99 (4) ◽

pp. 577-588 ◽

Author(s):

Dabao Zhang ◽

Martin T. Wells ◽

Liang Peng

Keyword(s):

Nonparametric Estimation ◽

Extreme Value Distribution ◽

Extreme Value ◽

Value Distribution ◽

Multivariate Extreme Value Distribution ◽

Dependence Function ◽

Multivariate Extreme Value

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Nonparametric estimation of multivariate extreme-value copulas

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2012.05.007 ◽

2012 ◽

Vol 142 (12) ◽

pp. 3073-3085 ◽

Author(s):

Gordon Gudendorf ◽

Johan Segers

Keyword(s):

Nonparametric Estimation ◽

Extreme Value ◽

Multivariate Extreme Value

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Nonparametric estimation of an extreme-value copula in arbitrary dimensions

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2010.07.011 ◽

2011 ◽

Vol 102 (1) ◽

pp. 37-47 ◽

Author(s):

Gordon Gudendorf ◽

Johan Segers

Keyword(s):

Nonparametric Estimation ◽

Extreme Value ◽

Arbitrary Dimensions

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Nonparametric estimation of the conditional extreme-value index with random covariates and censoring

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2015.06.004 ◽

2016 ◽

Vol 168 ◽

pp. 20-37 ◽

Author(s):

Pathé Ndao ◽

Aliou Diop ◽

Jean-François Dupuy

Keyword(s):

Nonparametric Estimation ◽

Extreme Value ◽

Extreme Value Index

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Nonparametric estimation and testing linear hypotheses in the linear regression model

Optimization ◽

10.1080/02331937508842249 ◽

1975 ◽

Vol 6 (2) ◽

pp. 269-283

Author(s):

Jana Jureková

Keyword(s):

Linear Regression ◽

Regression Model ◽

Nonparametric Estimation ◽

Linear Regression Model ◽

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Extreme Value Theory and Archimedean Copulas

Scandinavian Actuarial Journal ◽

10.1080/03461230110106534 ◽

2004 ◽

Vol 2004 (3) ◽

pp. 211-228 ◽

Author(s):

Mario V. Wüthrich

Keyword(s):

Extreme Value Theory ◽

Value Theory ◽

Extreme Value ◽

Archimedean Copulas

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Nonparametric estimation of the quadratic functional of multimodal probability density

Metrologiya ◽

10.32446/0132-4713.2019-3-17-2910.32446/ ◽

2019 ◽

pp. 17-29

Author(s):

А. V. Lapko ◽

V. A. Lapko

Keyword(s):

Probability Density ◽

Nonparametric Estimation ◽

Quadratic Functional

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