Naslov
An M-Estimator of Multivariate Tail Dependence

Autori
Krajina, Andrea

Vrsta, podvrsta i kategorija rada
Ocjenski radovi, doktorska disertacija

Fakultet
Faculty of Economics and Business Administration, Department of Econometrics and Operations Research

Mjesto
Tilburg, Nizozemska

Datum
24.04

Godina
2010

Stranica
99

Mentor
Einmahl, John ; Segers, Johan

Ključne riječi
Extreme value theory; M-Estimator; Multivariate Tail Dependence

Sažetak
Extreme value theory is the part of probability and statistics that provides the theoretical background for modeling eventsthat almost never happen. The estimation of the dependence between two or more such unlikely events (tail dependence) is the topic of this thesis. The tail dependence structure is modeled by the stable tail dependence function In Chapter 2 a semiparametric model is considered in which the stable tail dependence function is parametrically modeled. A method of moments estimator of the unknown parameter is proposed, where an integral of a nonparametric, rank-based estimator of the stable tail dependence is matched with the corresponding parametric version. This estimator is applied in Chapter 3 to estimate the tail dependence structure structure of the family of meta-elliptical distributions. The estimator introduced in Chapter 2 is extended in two respects in Chapter 4: (i) the number of variables is arbitraty ; (ii) the number of moment equations can exceed the dimension of the parameter space. This estimator is defined as the value of the parameter vector that minimizes the distance between a vector of weighted integrals of the tail dependence function on the one hand and empirical counterparts of these integrals on the other hand. The method, not being likelihood based, applies to discrete and continuous models alike. Under minimal conditions all estimators introduced are consistent and asymptotically normal. The performance and applicability of the estimators is demonstrated by examples.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

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