Robust estimation of the conditional stable tail dependence function

Yuri Goegebeur, Armelle Guillou () and Jing Qin
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Yuri Goegebeur: University of Southern Denmark
Armelle Guillou: Université de Strasbourg et CNRS
Jing Qin: University of Southern Denmark

Annals of the Institute of Statistical Mathematics, 2023, vol. 75, issue 2, No 1, 231 pages

Abstract: Abstract 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. Our methodology is applied on a real dataset of sale prices of residential properties.

Keywords: Empirical processes; Local estimation; Multivariate extreme value statistics; Robustness; Stable tail dependence function (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10463-022-00839-1

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