Tail asymptotics for dependent subexponential differences
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Publication:1935731
DOI10.1134/S003744661206002XzbMath1257.62016OpenAlexW2163083385MaRDI QIDQ1935731
Dominik Kortschak, Hansjoerg Albrecher, Soren Asmussen
Publication date: 19 February 2013
Published in: Siberian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s003744661206002x
Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
Related Items (3)
Optimal bounds for integrals with respect to copulas and applications ⋮ On Exceedance Times for Some Processes with Dependent Increments ⋮ Tail behavior of sums and differences of log-normal random variables
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