Semi-parametric estimation of multivariate extreme expectiles
type: Item
instance of: scholarly article
title: Semi-parametric estimation of multivariate extreme expectiles
zbMATH Open document ID: 1467.62084
author: Nicholas Beck
author: Elena Di Bernardino
author: Mélina Mailhot
published in: Journal of Multivariate Analysis
publication date: 2021-06-22T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 90C53
zbMATH DE Number: 7361741
zbMATH Keywords: dependence
zbMATH Keywords: extreme value theory
zbMATH Keywords: multivariate risk measures
zbMATH Keywords: optimization
zbMATH Keywords: semiparametric estimation
describes a project that uses: LBFGS-B
describes a project that uses: L-BFGS
MaRDI profile type: Publication
full work available at URL: j.jmva.2021.104758
OpenAlex ID: W3153065051
Wikidata QID: Q115162987
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DOI: 10.1016/J.JMVA.2021.104758
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