A method of moments estimator of tail dependence

By John H. J. Einmahl, A. Krajina, Johan Segers. 2007

49 citations recorded by the source corpus.

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25. (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed from another version of this item.) (This abstract was borrowed (This abstract was borrowed from another version of this item.)

View Paper: https://www.semanticscholar.org/paper/3094501448e670df5d82ad310ca0d10a5acf20c2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Gordon Gudendorf
2. Anna Kiriliouk
3. Johan Segers

Citations in the corpus

• Extreme-value copulas (2009, background): “See for instance [5, 13, 49, 24, 59, 60, 61, 63] for some (semi-)parametric approaches and [1, 6, 23, 22, 25, 81] for some nonparametric ones.”
• Copula-Based Measures of Multivariate Association (2010, unknown): “[24], Klüppelberg et al.”
• An M‐estimator of spatial tail dependence (2014, methodology): “Comparison with Einmahl et al. (2012). A natural question that arises is whether the quality of estimation decreases when making the step from the d-dimensional estimator θ̂′ n in (3.2) to the pairwise estimator θ̂n in (3.3). We will demonstrate for the multivariate logistic model that this is not t”