Estimating the tail dependence function of an elliptical distribution

DOI10.3150/07-BEJ6047zbMath1111.62048OpenAlexW2062892981MaRDI QIDQ880485

Gabriel Kuhn, Claudia Klüppelberg, Liang Peng

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/07-bej6047

zbMATH Keywords

asymptotic normalityregular variationelliptical distributiontail dependence function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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