Testing the tail-dependence based on the radial component
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Publication:1003303
DOI10.1007/s10687-007-0037-zzbMath1157.62029OpenAlexW1998419792MaRDI QIDQ1003303
Edgar Kaufmann, Melanie Frick, Rolf-Dieter Reiss
Publication date: 28 February 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-007-0037-z
Pickands dependence functionbivariate generalized Pareto distributionuniformly most powerful Neyman-Pearson test
Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
Related Items (4)
Limiting distributions of maxima under triangular schemes ⋮ Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes ⋮ Measures of multivariate asymptotic dependence and their relation to spectral expansions ⋮ Expansions of multivariate Pickands densities and testing the tail dependence
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