An analysis of a heuristic procedure to evaluate tail (in)dependence

DOI10.1155/2014/913621zbMath1426.62145OpenAlexW2163058236WikidataQ59061453 ScholiaQ59061453MaRDI QIDQ1667391

Marta Ferreira, Sérgio L. Silva

Publication date: 28 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/913621

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Cites Work

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• Estimating the tail-dependence coefficient: properties and pitfalls
• Non-parametric Estimation of Tail Dependence
• Statistics for near independence in multivariate extreme values
• Statistics of Extremes
• Dependence measures for extreme value analyses

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