Extremal dependence measure and extremogram: the regularly varying case

DOI10.1007/s10687-011-0135-9zbMath1329.60153OpenAlexW2083632918MaRDI QIDQ906650

Martin Larsson, Sidney I. Resnick

Publication date: 22 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-011-0135-9

zbMATH Keywords

extremogramregular variationheavy tailsasymptotic independenceextremal dependenceEDM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

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Uses Software

• longmemo

Cites Work

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