Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
type: Item
instance of: scholarly article
title: Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
zbMATH Open document ID: 1419.62116
author: Pavel Krupskii
author: Harry Joe
published in: Journal of Multivariate Analysis
publication date: 2019-07-02T00:00:00Z
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7075383
zbMATH Keywords: copula
zbMATH Keywords: extreme value
zbMATH Keywords: tail expansion
zbMATH Keywords: tail probability
zbMATH Keywords: tail-weighted dependence
zbMATH Keywords: threshold method
describes a project that uses: CopulaModel
MaRDI profile type: Publication
full work available at URL: j.jmva.2019.02.013
OpenAlex ID: W2918148170
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DOI: 10.1016/J.JMVA.2019.02.013
description: scientific article; zbMATH DE number 7075383