Estimating a bivariate tail: a copula based approach (Q391665): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H05
@@ Property / Mathematics Subject Classification ID: 62H05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G32
@@ Property / Mathematics Subject Classification ID: 62G32 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G70
@@ Property / Mathematics Subject Classification ID: 60G70 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6244391
@@ Property / zbMATH DE Number: 6244391 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+extreme value theory
@@ Property / zbMATH Keywords: extreme value theory / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+peaks-over-threshold method
@@ Property / zbMATH Keywords: peaks-over-threshold method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Pickands-Balkema-de Haan theorem
@@ Property / zbMATH Keywords: Pickands-Balkema-de Haan theorem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+tail dependence
@@ Property / zbMATH Keywords: tail dependence / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmva.2013.03.020
+Normal rank
@@ Property / OpenAlex ID @@
+W2118933035
@@ Property / OpenAlex ID: W2118933035 / rank @@
+Normal rank
@@ Property / cites work @@
+Residual life time at great age
@@ Property / cites work: Residual life time at great age / rank @@
+Normal rank
@@ Property / cites work @@
+Bias-reduced estimators for bivariate tail modelling
+Normal rank
@@ Property / cites work @@
+Statistics of Extremes
@@ Property / cites work: Statistics of Extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of a bivariate extreme value distribution
+Normal rank
@@ Property / cites work @@
+Limiting dependence structures for tail events, with applications to credit derivatives
+Normal rank
@@ Property / cites work @@
+Lower tail dependence for Archimedean copulas: characterizations and pitfalls
+Normal rank
@@ Property / cites work @@
+Statistical Methods for Multivariate Extremes: An Application to Structural Design
+Normal rank
@@ Property / cites work @@
+Q3486670
@@ Property / cites work: Q3486670 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5633348
@@ Property / cites work: Q5633348 / rank @@
+Normal rank
@@ Property / cites work @@
+Bivariate tail estimation: dependence in asymptotic independence
+Normal rank
@@ Property / cites work @@
+On maximum likelihood estimation of the extreme value index.
+Normal rank
@@ Property / cites work @@
+Best attainable rates of convergence for estimators of the stable tail dependence function
+Normal rank
@@ Property / cites work @@
+Weak convergence of probabilities on nonseparable metric spaces and empirical measures on Euclidean spaces
+Normal rank
@@ Property / cites work @@
+The empirical distribution function as a tail estimator
+Normal rank
@@ Property / cites work @@
+Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
+Normal rank
@@ Property / cites work @@
+A method of moments estimator of tail dependence
@@ Property / cites work: A method of moments estimator of tail dependence / rank @@
+Normal rank
@@ Property / cites work @@
+On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
+Normal rank
@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
+Normal rank
@@ Property / cites work @@
+On the distribution of Pickands coordinates in bivariate EV and GP models
+Normal rank
@@ Property / cites work @@
+Understanding Relationships Using Copulas
@@ Property / cites work: Understanding Relationships Using Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
+Normal rank
@@ Property / cites work @@
+Handbook of econometrics. Vol. 5
@@ Property / cites work: Handbook of econometrics. Vol. 5 / rank @@
+Normal rank
@@ Property / cites work @@
+Limiting Tail Dependence Copulas
@@ Property / cites work: Limiting Tail Dependence Copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Copula convergence theorems for tail events.
@@ Property / cites work: Copula convergence theorems for tail events. / rank @@
+Normal rank
@@ Property / cites work @@
+Tail dependence from a distributional point of view
+Normal rank
@@ Property / cites work @@
+Statistics for near independence in multivariate extreme values
+Normal rank
@@ Property / cites work @@
+Q4363950
@@ Property / cites work: Q4363950 / rank @@
+Normal rank
@@ Property / cites work @@
+Concomitant tail behaviour for extremes
@@ Property / cites work: Concomitant tail behaviour for extremes / rank @@
+Normal rank
@@ Property / cites work @@
+Extreme dependence of multivariate catastrophic losses
+Normal rank
@@ Property / cites work @@
+Some notes on multivariate generalized Pareto distributions
+Normal rank
@@ Property / cites work @@
+An introduction to copulas. Properties and applications
+Normal rank
@@ Property / cites work @@
+Estimation of the coefficient of tail dependence in bivariate extremes
+Normal rank
@@ Property / cites work @@
+Statistical inference using extreme order statistics
+Normal rank
@@ Property / cites work @@
+Q3667778
@@ Property / cites work: Q3667778 / rank @@
+Normal rank
@@ Property / cites work @@
+A New Class of Models for Bivariate Joint Tails
@@ Property / cites work: A New Class of Models for Bivariate Joint Tails / rank @@
+Normal rank
@@ Property / cites work @@
+Q5421906
@@ Property / cites work: Q5421906 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3771297
@@ Property / cites work: Q3771297 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate generalized Pareto distributions
@@ Property / cites work: Multivariate generalized Pareto distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
+Normal rank
@@ Property / cites work @@
+Estimating tails of probability distributions
@@ Property / cites work: Estimating tails of probability distributions / rank @@
+Normal rank
@@ Property / cites work @@
+Bivariate extension of the Pickands-Balkema-de Haan theorem.
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:391665