Orthant tail dependence of multivariate extreme value distributions (Q958921)
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scientific article; zbMATH DE number 5380091
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Orthant tail dependence of multivariate extreme value distributions |
scientific article; zbMATH DE number 5380091 |
Statements
Orthant tail dependence of multivariate extreme value distributions (English)
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10 December 2008
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tail dependence
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heavy tails
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copula
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multivariate extreme value distribution
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Marshall-Olkin distribution
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Archimedean copula
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contagion risk
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0.9122158
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0.9111881
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0.9106161
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0.90472865
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0.90193975
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