Tail Dependence Under Sample Failures

DOI10.1137/S0040585X97T989751zbMath1436.62174OpenAlexW2981654744MaRDI QIDQ5216296

Marta Ferreira, Helena Ferreira

Publication date: 17 February 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989751

zbMATH Keywords

stationary sequencetheory of extreme valuesasymptotic independence of extreme valuesdependence on extreme values

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Fragility index of block tailed vectors
• Tail dependence between order statistics
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• Asymptotically (in)dependent multivariate maxima of moving maxima process
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• On the extremal dependence coefficient of multivariate distributions
• Pareto processes
• Statistics for near independence in multivariate extreme values
• Tail Dependence of a Pareto Process
• Extremes of Stationary Sequences with Failures

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