Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation

DOI10.1007/s10687-013-0173-6zbMath1302.62114OpenAlexW2097030241MaRDI QIDQ483514

Janet E. Heffernan, Emma F. Eastoe, Jonathan A. Tawn

Publication date: 17 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-013-0173-6

zbMATH Keywords

Poisson processconditional distributionmultivariate extreme value theoryasymptotic dependenceeconomic monetary unionnonparametric modelling

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

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