How to model multivariate extremes if one must?

DOI10.1111/j.1467-9574.2005.00289.xzbMath1069.62042OpenAlexW2120132808MaRDI QIDQ5313467

Thomas Mikosch

Publication date: 1 September 2005

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.2005.00289.x

zbMATH Keywords

copulaheavy-tailed distributionextreme value distributionelliptical distributionmultivariate regular variation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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