Estimating a bivariate tail: a copula based approach

DOI10.1016/j.jmva.2013.03.020zbMath1359.62182OpenAlexW2118933035MaRDI QIDQ391665

Clémentine Prieur, Elena Di Bernardino, Véronique Maume-Deschamps

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.03.020

zbMATH Keywords

extreme value theorytail dependencepeaks-over-threshold methodPickands-Balkema-de Haan theorem

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Multivariate extreme value theory -- a tutorial

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