Self-consistent estimation of conditional multivariate extreme value distributions

DOI10.1016/j.jmva.2014.02.003zbMath1293.62112OpenAlexW2044643784MaRDI QIDQ2443252

Ye Liu, Jonathan A. Tawn

Publication date: 7 April 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.02.003

zbMATH Keywords

quantile regressioncoefficient of tail dependencemultivariate extreme value theoryself-consistencyconditional analysisHeffernan-Tawn model

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32)

Related Items

Extremal characteristics of conditional models

Cites Work

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