统计与数据科学系系列学术报告之五百一十八期

来源：

学校官网

收录时间：

2026-07-18 03:03:06

时间：

2026-07-21 15:00:00

地点：

史带楼302室

报告人：

周晨 教授

学校：

复旦大学

关键词：

extreme value statistics, tail dependence, heteroscedasticity, nonparametric estimation, tail copula

简介：

We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly changing tail copulas, we propose a nonparametric estimator for the integrated tail copula, as well as one for the local tail copula. We establish the asymptotic behavior of both estimators. Notably, the heteroscedastic marginals do not affect the limiting processes. Finally, we use the main result for the integrated tail copula to test for a constant tail copula across all observations. This is a joint work with John Einmahl (Tilburg University)

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