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Robust estimation of the conditional stable tail dependence function
Annals of the Institute of Statistical Mathematics ( IF 0.8 ) Pub Date : 2022-06-28 , DOI: 10.1007/s10463-022-00839-1
Yuri Goegebeur , Armelle Guillou , Jing Qin

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.



中文翻译:

条件稳定尾依赖函数的稳健估计

在记录随机协变量的情况下,我们提出了稳定尾依赖函数的稳健估计量。在适当的假设下,我们推导出适当归一化的估计量的有限维弱收敛。我们的估计器在效率和鲁棒性方面的性能通过模拟研究来说明。我们的方法应用于住宅物业销售价格的真实数据集。

更新日期:2022-06-28
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