Exceedance-based nonlinear regression of tail dependence
DOI10.1007/s10687-019-00342-6zbMath1429.62175arXiv1802.01535OpenAlexW2963634654WikidataQ128454977 ScholiaQ128454977MaRDI QIDQ2322842
Thomas Opitz, Linda Mhalla, Valérie Chavez-Demoulin
Publication date: 5 September 2019
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.01535
asymptotic independenceextreme value theorytail dependencepenalized likelihoodgeneralized additive models
Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Generalized linear models (logistic models) (62J12) Statistics of extreme values; tail inference (62G32)
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