Decompositions of dependence for high-dimensional extremes

DOI10.1093/biomet/asz028zbMath1464.62278arXiv1612.07190OpenAlexW2962702082WikidataQ127874685 ScholiaQ127874685MaRDI QIDQ5859764

Daniel Cooley, Emeric Thibaud

Publication date: 20 April 2021

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.07190

zbMATH Keywords

regular variationdimension reductiontail dependenceangular measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

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