An M-estimator of spatial tail dependence
(2014) , 25 pages
Files
ISBADP201408.pdf
Open Access - Adobe PDF
- 1.12 MB
Details
- Authors
- Abstract
- Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the asymptotic variance. Empirical process arguments show that the estimator is consistent and asymptotically normal. Its finite-sample performance is assessed in simulation experiments involving popular max-stable processes perturbed with additive noise. An analysis of wind speed data from the Netherlands illustrates the method.
- Affiliations
Citations
Einmahl, J., Kiriliouk, A., Krajina, A., & Segers, J. (2014). An M-estimator of spatial tail dependence (ISBA Discussion Paper 2014/08). https://hdl.handle.net/2078.5/199791