✦ LIBER ✦

Intrinsic estimation of the dependence structure for bivariate extremes

✍ Scribed by J.Tiago de Oliveira

Publisher: Elsevier Science
Year: 1989
Tongue: English
Weight: 384 KB
Volume: 8
Category: Article
ISSN: 0167-7152
DOI: 10.1016/0167-7152(89)90124-7

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Nonparametric Estimation of the Dependen

Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

✍ Javier Rojo Jiménez; Enrique Villa-Diharce; Miguel Flores 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 288 KB

The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated. Compar

On the limiting behavior of the Pickands

On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions

✍ Paul Deheuvels 📂 Article 📅 1991 🏛 Elsevier Science 🌐 English ⚖ 755 KB

Estimation of the average correlation co

Estimation of the average correlation coefficient for stratified bivariate data

✍ Linda M. Rubenstein; Charles S. Davis 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 109 KB 👁 2 views

If the relationship between two ordered categorical variables X and Y is in uenced by a third categorical variable with K levels, the Cochran-Mantel-Haenszel (CMH) correlation statistic QC is a useful stratumadjusted summary statistic for testing the null hypothesis of no association between X and Y

A semiparametric estimator of the bivari

A semiparametric estimator of the bivariate distribution function for censored gap times

✍ Jacobo de Uña-Álvarez; Ana Paula Amorim 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 502 KB

Let (T 1 , T 2 ) be gap times corresponding to two consecutive events, which are observed subject to random right-censoring. In this paper, a semiparametric estimator of the bivariate distribution function of (T 1 , T 2 ) and, more generally, of a functional E [j(T 1 ,T 2 )] is proposed. We assume t

Sampling designs for the estimation of t

Sampling designs for the estimation of the difference between two means of a bivariate normal

✍ M. Alvo; P. Cabilio 📂 Article 📅 1989 🏛 Elsevier Science 🌐 English ⚖ 846 KB

Bivariate GARCH estimation of the optima

Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note

✍ Tae H. Park; Lorne N. Switzer 📂 Article 📅 1995 🏛 John Wiley and Sons 🌐 English ⚖ 385 KB 👁 2 views

2Cecchetti, Cumby, and Figlewski (1988) apply ARCH in estimating an optimal futures hedge with Treasury bonds. Baillie and Myers (199 1) and Myers (1991) examine commodity futures and report improvements in hedging performance over the constant hedge approach by following a dynamic strategy based o