The Extremal Dependence Measure and Asymptotic Independence (Q3157856)

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Language	Label	Description	Also known as
English	The Extremal Dependence Measure and Asymptotic Independence	scientific article

Statements

scholarly article

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The Extremal Dependence Measure and Asymptotic Independence (English)

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Stochastic Models

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publication date

19 January 2005

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zbMATH Keywords

heavy tails

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Pareto tails

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multivariate regular variation

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Sidney I. Resnick

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MaRDI profile type

MaRDI publication profile

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A characterization of multivariate regular variation.

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Time series: theory and methods.

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Dependence measures for extreme value analyses

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Using a bootstrap method to choose the sample fraction in tail index estimation

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The sample autocorrelations of heavy-tailed processes with applications to ARCH

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Limit theory for moving averages of random variables with regularly varying tail probabilities

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More limit theory for the sample correlation function of moving averages

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Prediction of stationary max-stable processes

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A spectral representation for max-stable processes

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Sea and wind: multivariate extremes at work

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Integrals and derivatives of regularly varying functions in \(R^ n\) and domains of attraction of stable distributions. II

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Domains of attraction and regular variation in \({\mathbb{R}}^ d\)

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Stationary min-stable stochastic processes

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Limit theory for multivariate sample extremes

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Derivatives of regularly varying functions in \(R^d\) and domains of attraction of stable distributions

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On regular variation of probability densities

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On asymptotic normality of the hill estimator

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On the estimation of the extreme-value index and large quantile estimation

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Optimal choice of sample fraction in extreme-value estimation

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Nonparametric estimation of the spectral measure of an extreme value distribution.

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Empirical Testing Of The Infinite Source Poisson Data Traffic Model

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A directory of coefficients of tail dependence

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Statistics for near independence in multivariate extreme values

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Concomitant tail behaviour for extremes

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Diagnostics for Dependence within Time Series Extremes

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Asymptotic independence and a network traffic model

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A bivariate stable characterization and domains of attraction

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How misleading can sample ACFs of stable MAs be? (Very!)

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Point processes, regular variation and weak convergence

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Hidden regular variation, second order regular variation and asymptotic independence

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Consistency of Hill's estimator for dependent data

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Smoothing the Hill Estimator

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Superextremal processes, max-stability and dynamic continuous choice

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On the structure of stationary stable processes

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Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

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Bivariate extreme value theory: Models and estimation

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Identifiers

zbMATH Open document ID

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10.1081/STM-120034129

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3157856

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