Estimating the multivariate extremal index function

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Extremal behavior of pMAX processes ⋮ Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization ⋮ Extremal properties of M4 processes

Cites Work

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