Statistics for near independence in multivariate extreme values

DOI10.1093/biomet/83.1.169zbMath0865.62040OpenAlexW2058959119MaRDI QIDQ3837347

Publication date: 2 March 1997

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9db7257f672890d9857cd3d69331a8a97c504d38

zbMATH Keywords

simulation maximum likelihood asymptotic independence Poisson process coefficient of tail dependence generalized Pareto distribution diagnostic test threshold exceedance nonregular estimation characterization of dependence joint tail estimation marginal variables multivariate extreme value threshold model near independence tests for independence of extremes

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20)

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