Fragility index of block tailed vectors
From MaRDI portal
Publication:419295
DOI10.1016/j.jspi.2012.01.021zbMath1408.62096arXiv1112.1490OpenAlexW1976062897MaRDI QIDQ419295
Helena Ferreira, Marta Ferreira
Publication date: 18 May 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.1490
Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Stable stochastic processes (60G52)
Related Items (6)
Unnamed Item ⋮ A new blocks estimator for the extremal index ⋮ A crossinggram for random fields on lattices ⋮ Bivariate Tail Dependence and the Generation of Multivariate Extreme Value Distributions ⋮ GENERAL CHARACTERIZATION OF SOME STATISTICAL TOOLS FOR MEASURING ASYMPTOTIC DEPENDENCE ⋮ Tail Dependence Under Sample Failures
Cites Work
- Unnamed Item
- Unnamed Item
- A multivariate piecing-together approach with an application to operational loss data
- Tail order and intermediate tail dependence of multivariate copulas
- Tail dependence between order statistics
- Bivariate extreme statistics. I
- Bounds for functions of dependent risks
- Orthant tail dependence of multivariate extreme value distributions
- Sea and wind: multivariate extremes at work
- Bivariate tail estimation: dependence in asymptotic independence
- Asymptotic conditional distribution of exceedance counts: fragility index with different margins
- Asymptotic Conditional Distribution of Exceedance Counts
- Measurement of aggregate risk with copulas
- Non-parametric Estimation of Tail Dependence
- Statistics for near independence in multivariate extreme values
- Multivariate extremes, aggregation and risk estimation
- Statistics of Extremes
This page was built for publication: Fragility index of block tailed vectors
