Estimation of extreme risk regions under multivariate regular variation
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Publication:638815
DOI10.1214/11-AOS891zbMath1221.62075arXiv1211.5239OpenAlexW2137777209MaRDI QIDQ638815
John H. J. Einmahl, Juan-Juan Cai, Laurens De Haan
Publication date: 14 September 2011
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.5239
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Statistics of extreme values; tail inference (62G32)
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