Generalized jackknife semi-parametric estimators of the tail index.
Generalized logistic model and its orthant tail dependence
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and it has been extended to asymmetric models. In this paper we introduce generalized logistic multivariate distributions. Our tools are mixtures of copulas and stable mixing variables, extending approaches in Tawn [14], Joe and Hu [6] and Fougères et al. [3]. The...
Goodness-of-fit tests derived from characterizations of continuous distributions
Starting from characterizations of continuous distributions in terms of the expected values of two functions of record values we construct a family of goodness-of-fit tests calculated from U-statistics.