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- W2949756989 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." @default.
- W2949756989 created "2019-06-27" @default.
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- W2949756989 date "2014-03-08" @default.
- W2949756989 modified "2023-09-27" @default.
- W2949756989 title "An M-estimator of spatial tail dependence" @default.
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