Asymptotic independence and support detection techniques for heavy-tailed multivariate data
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Publication:784445
DOI10.1016/j.insmatheco.2020.05.002zbMath1448.62074arXiv1904.00917MaRDI QIDQ784445
Sidney I. Resnick, Jaakko Lehtomaa
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.00917
asymptotic independence; power law; support estimation; multivariate regular variation; heavy-tailed data
62H12: Estimation in multivariate analysis
62E20: Asymptotic distribution theory in statistics
62G05: Nonparametric estimation
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
60G57: Random measures
Uses Software