Extreme behaviour for bivariate elliptical distributions

DOI10.1002/cjs.5540330302zbMath1096.62053OpenAlexW2075165909MaRDI QIDQ5718585

Anne-Laure Fougères, Kilani Ghoudi, Belkacem Abdous

Publication date: 16 January 2006

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5540330302

zbMATH Keywords

thresholdConditional distributiontail dependenceelliptical distributionexceedance probabilityextremal behaviour

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

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