Estimating a bivariate tail: a copula based approach
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Publication:391665
DOI10.1016/j.jmva.2013.03.020zbMath1359.62182MaRDI QIDQ391665
Clémentine Prieur, Elena Di Bernardino, Véronique Maume-Deschamps
Publication date: 10 January 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2013.03.020
extreme value theory; tail dependence; peaks-over-threshold method; Pickands-Balkema-de Haan theorem
62H12: Estimation in multivariate analysis
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
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