In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a...

We consider the problem of estimating the marginals in case there is knowledge on the copula. If the copula is smooth, it is known that it is possible to improve on the empirical distribution functions: optimal estimators still have rate of convergence n-1/2, but a smaller asymptotic variance....

Consider the location-scale regression model Y = m(X)+o(X), where the error e is independent of the covariate X, and m and o are smooth but unknown functions.We construct tests for the validity of this model and show that the asymptotic limits of the proposed test statistics are distribution...

The shorth plot is a tool to investigate probability mass concentration. It is a graphical representation of the length of the shorth, the shortest interval covering a certain fraction of the distribution, localized by forcing the intervals considered to contain a given point x. It is easy to...

We investigate the estimation of the extreme value index, when the data are subject to random censorship. We prove in a unified way detailed asymptotic normality results for various estimators of the extreme value index and use these estimators as the main building block for estimators of...