Extreme residual dependence for random vectors and processes

DOI10.1239/aap/1300198520zbMath1216.62078OpenAlexW2063406239MaRDI QIDQ2996577

Chen Zhou, Laurens De Haan

Publication date: 3 May 2011

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1300198520

zbMATH Keywords

spectral measureasymptotic independence

Mathematics Subject Classification ID

Multivariate analysis (62H99) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Implicit extremes and implicit max-stable laws ⋮ Extremes for a general contagion risk measure ⋮ A modeler's guide to extreme value software ⋮ Causality in extremes of time series ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES ⋮ Relations Between Hidden Regular Variation and the Tail Order of Copulas ⋮ Extremal dependence of random scale constructions ⋮ Identifying groups of variables with the potential of being large simultaneously ⋮ Exceedance-based nonlinear regression of tail dependence ⋮ Samples with a limit shape, multivariate extremes, and risk

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