Introduces a penalized least squares estimator with pseudo-norm penalization for parametric extreme-value mixture models and a data-driven algorithm to identify extreme directions.
Best attainable rates of convergence for estimators of the stable tail dependence function.Journal of Multivariate Analysis, 64(1):25–46
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A penalized least squares estimator for extreme-value mixture models
Introduces a penalized least squares estimator with pseudo-norm penalization for parametric extreme-value mixture models and a data-driven algorithm to identify extreme directions.