A method of moments estimator of tail dependence in meta-elliptical models
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Publication:419290
DOI10.1016/j.jspi.2012.01.020zbMath1237.62058OpenAlexW2078651795MaRDI QIDQ419290
Publication date: 18 May 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.01.020
Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)
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Cites Work
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