Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
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Publication:2001093
DOI10.1016/j.jmva.2019.02.013zbMath1419.62116OpenAlexW2918148170MaRDI QIDQ2001093
Publication date: 2 July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2019.02.013
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
Related Items (6)
\(t\)-copula from the viewpoint of tail dependence matrices ⋮ Estimation of multivariate tail quantities ⋮ A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE ⋮ Editorial for the special issue on dependence models ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ The integrated copula spectrum
Uses Software
Cites Work
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