Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
DOI10.1515/demo-2021-0108zbMath1493.62262OpenAlexW3179149238MaRDI QIDQ2076958
Publication date: 22 February 2022
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2021-0108
spectral representationco-survival functionstable tail dependence functionHoeffding-Sobol decompositionmultivariate extreme value modeling
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Monotonic functions, generalizations (26A48) Functions of several variables (26B99) Multiple integral transforms (44A30)
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