On approximating max-stable processes and constructing extremal copula functions

DOI10.1007/s11203-008-9027-2zbMath1205.60102OpenAlexW1988309289MaRDI QIDQ625312

Zhengjun Zhang

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-008-9027-2

zbMATH Keywords

copulaorder statisticsextreme value distributionmax-stable processnon-standard estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) Stable stochastic processes (60G52)

Related Items (11)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality ⋮ Copula structured M4 processes with application to high-frequency financial data ⋮ Efficient estimation and particle filter for max-stable processes ⋮ Max-linear regression models with regularization ⋮ Asymptotic independence of correlation coefficients with application to testing hypothesis of independence ⋮ Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond ⋮ On the estimation and application of max-stable processes ⋮ Extremal properties of M4 processes ⋮ A Compendium of Copulas ⋮ Extremes of scale mixtures of multivariate time series

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