Copula structure analysis based on extreme dependence

DOI10.4310/SII.2015.v8.n1.a9zbMath1407.62164WikidataQ59278101 ScholiaQ59278101MaRDI QIDQ1747434

Claudia Klüppelberg, Gabriel Kuhn, Stephan Haug

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

risk analysismultivariate statisticsKendall's taufactor analysisstructure analysiselliptical copulaextreme value statisticstail dependence function

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Estimating an extreme Bayesian network via scalings ⋮ \(k\)-means clustering of extremes ⋮ Dimension reduction in multivariate extreme value analysis

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