Robust estimation of the conditional stable tail dependence function

IF 0.8 4区 数学 Q3 STATISTICS & PROBABILITY
Yuri Goegebeur, Armelle Guillou, Jing Qin
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引用次数: 1

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.

Abstract Image

条件稳定尾相关函数的鲁棒估计
在记录随机协变量的情况下,我们提出了稳定尾相关函数的鲁棒估计。在适当的假设条件下,我们得到了适当归一化估计量的有限维弱收敛性。通过仿真研究说明了该估计器在效率和鲁棒性方面的性能。我们的方法应用于住宅物业销售价格的真实数据集。
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来源期刊
CiteScore
2.00
自引率
0.00%
发文量
39
审稿时长
6-12 weeks
期刊介绍: Annals of the Institute of Statistical Mathematics (AISM) aims to provide a forum for open communication among statisticians, and to contribute to the advancement of statistics as a science to enable humans to handle information in order to cope with uncertainties. It publishes high-quality papers that shed new light on the theoretical, computational and/or methodological aspects of statistical science. Emphasis is placed on (a) development of new methodologies motivated by real data, (b) development of unifying theories, and (c) analysis and improvement of existing methodologies and theories.
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