Yuri Goegebeur
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View article: Marginal expected shortfall risk measure for time series
Marginal expected shortfall risk measure for time series Open
We consider the estimation of the marginal expected shortfall $${\mathbb {E}}\left( X_h | Y_0>U_Y(1/p)\right) $$ at extreme levels, when $$((X_t, Y_t))_{t\in {\mathbb {Z}}}$$ is a strictly stationar…
View article: Estimation of the conditional tail moment risk measure under random right censoring
Estimation of the conditional tail moment risk measure under random right censoring Open
View article: A Conditional Tail Expectation Type Risk Measure for Time Series
A Conditional Tail Expectation Type Risk Measure for Time Series Open
We consider the estimation of the conditional expectation , provided , at extreme levels, where is a strictly stationary time series, its tail quantile function, is a positive integer and is such that . We use the multivariate regular vari…
View article: Extreme conditional quantile estimation for time series
Extreme conditional quantile estimation for time series Open
We consider the estimation of an extreme conditional quantile Q_Y(1-p|x_0) for a heavy-tailed distribution in case of a strictly stationary time series (X_t, Y_t)_{t \in Z}. Here, Q_Y(.|x_0) denotes the conditional quantile function of Y g…
View article: Asymptotically unbiased estimator of the extreme value index under random censoring
Asymptotically unbiased estimator of the extreme value index under random censoring Open
We consider bias-corrected estimation of the extreme value index of a Pareto-type distribution in the censoring framework. The initial estimator is based on a Kaplan-Meier integral from which we remove the bias under a second-order framewo…
View article: Estimation of marginal excess moments for Weibull-type distributions
Estimation of marginal excess moments for Weibull-type distributions Open
We consider the estimation of the marginal excess moment ( MEM ), which is defined for a random vector ( X , Y ) and a parameter $$\beta >0$$ as $$\mathbb {E}[(X-Q_{X}(1-p))_{+}^{\beta }|Y> Q_{Y}(1-p)]$$ …
View article: Conditional extreme quantile estimation for time series
Conditional extreme quantile estimation for time series Open
We consider the estimation of a conditional extreme quantile Q_Y(1-p|x_0) for a heavy-tailed distribution in case of a strictly stationary time series (X_t, Y_t)_{t\in \mathbb Z}. Here, Q_Y(.|x_0) denotes the conditional quantile function …
View article: Conditional tail moment and reinsurance premium estimation under random right censoring
Conditional tail moment and reinsurance premium estimation under random right censoring Open
We propose an estimator of the conditional tail moment (CTM) when the data are subject to random censorship. The variable of main interest and the censoring variable both follow a Pareto-type distribution. We establish the asymptotic prope…
View article: Dependent conditional tail moments for extreme levels
Dependent conditional tail moments for extreme levels Open
View article: Nonparametric estimation of conditional marginal excess moments
Nonparametric estimation of conditional marginal excess moments Open
View article: Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
Extreme-value based estimation of the conditional tail moment with application to reinsurance rating Open
View article: Robust estimation of the conditional stable tail dependence function
Robust estimation of the conditional stable tail dependence function Open
View article: Linking Pareto-Tail Kernel Goodness-Offit Statistics with Tail Index at Optimal Threshold and Second Order Estimation
Linking Pareto-Tail Kernel Goodness-Offit Statistics with Tail Index at Optimal Threshold and Second Order Estimation Open
In this paper the relation between goodness-of-fit testing and the optimal selection of the sample fraction for tail estimation, for instance using Hill’s estimator, is examined. We consider this problem under a general kernel goodness-of-…
View article: Simultaneous tail index estimation
Simultaneous tail index estimation Open
The estimation of the extreme-value index γ based on a sample of independent and identically distributed random variables has received considerable attention in the extreme-value literature. However, the problem of combining data from seve…
View article: A Weissman-type estimator of the conditional marginal expected shortfall
A Weissman-type estimator of the conditional marginal expected shortfall Open
View article: Conditional marginal expected shortfall
Conditional marginal expected shortfall Open
View article: Extreme value estimation of the conditional risk premium in reinsurance
Extreme value estimation of the conditional risk premium in reinsurance Open
View article: Robust nonparametric estimation of the conditional tail dependence coefficient
Robust nonparametric estimation of the conditional tail dependence coefficient Open
View article: Bias correction in conditional multivariate extremes
Bias correction in conditional multivariate extremes Open
We consider bias-corrected estimation of the stable tail dependence function in the regression context. To this aim, we first estimate the bias of a smoothed estimator of the stable tail dependence function, and then we subtract it from th…
View article: Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
Bias-corrected estimation for conditional Pareto-type distributions with random right censoring Open
View article: Local Robust Estimation of Pareto-Type Tails with Random Right Censoring
Local Robust Estimation of Pareto-Type Tails with Random Right Censoring Open
View article: Robust estimation of the Pickands dependence function under random right censoring
Robust estimation of the Pickands dependence function under random right censoring Open
View article: Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
Bias-corrected estimation for conditional Pareto-type distributions with random right censoring Open
View article: Local robust estimation of the Pickands dependence function
Local robust estimation of the Pickands dependence function Open
We consider the robust estimation of the Pickands dependence function in the random covariate framework. Our estimator is based on local estimation with the minimum density power divergence criterion. We provide the main asymptotic propert…
View article: Local Estimation of the Conditional Stable Tail Dependence Function
Local Estimation of the Conditional Stable Tail Dependence Function Open
We consider the local estimation of the stable tail dependence function when a random covariate is observed together with the variables of main interest. Our estimator is a weighted version of the empirical estimator adapted to the covaria…
View article: On kernel estimation of the second order rate parameter in multivariate extreme value statistics
On kernel estimation of the second order rate parameter in multivariate extreme value statistics Open
View article: Bias-corrected and robust estimation of the bivariate stable tail dependence function
Bias-corrected and robust estimation of the bivariate stable tail dependence function Open
View article: A local moment type estimator for an extreme quantile in regression with random covariates
A local moment type estimator for an extreme quantile in regression with random covariates Open
A conditional extreme quantile estimator is proposed in the presence of random covariates. It is based on an adaptation of the moment estimator introduced by Dekkers et al. (1989) in the classical univariate setting, and thus it is valid i…
View article: Robust and bias-corrected estimation of the probability of extreme failure sets
Robust and bias-corrected estimation of the probability of extreme failure sets Open
In multivariate extreme value statistics, the estimation of probabilities of extreme failure sets is an important problem, with practical relevance for applications in several scientific disciplines. Some estimators have been introduced in…
View article: Bias-corrected estimation of stable tail dependence function
Bias-corrected estimation of stable tail dependence function Open