Extreme-value limit of the convolution of exponential and multivariate normal distributions: link to the Hüsler-Reiß distribution

DOI10.1016/j.jmva.2017.10.006zbMath1499.62164OpenAlexW2766235828WikidataQ115570111 ScholiaQ115570111MaRDI QIDQ1686154

Peng Zhang

Publication date: 21 December 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2017.10.006

zbMATH Keywords

copulaparametric bootstrapextreme-value limitparsimonious dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Unnamed Item ⋮ Conditional normal extreme-value copulas ⋮ Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution

Uses Software

• CopulaModel

Cites Work

• Unnamed Item
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