Concomitant tail behaviour for extremes
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- scientific article; zbMATH DE number 34422
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Cited in
(46)- Asymptotic properties of type I elliptical random vectors
- Testing asymptotic independence in bivariate extremes
- Operator tail dependence of copulas
- Domination of sample maxima and related extremal dependence measures
- Efficient simulation for dependent rare events with applications to extremes
- Bivariate tail estimation: dependence in asymptotic independence
- On the tail behaviour of aggregated random variables
- Conditional limits of \(W_{p}\) scale mixture distributions
- Conditional quantiles and tail dependence
- Risk analysis of cumulative intraday return curves
- Modeling multiple risks: hidden domain of attraction
- Limit laws for random vectors with an extreme component
- Characterizations and examples of hidden regular variation
- Testing for tail independence in extreme value models
- A flexible dependence model for spatial extremes
- Multiple maxima in multivariate samples
- Extreme residual dependence for random vectors and processes
- Probabilities of concurrent extremes
- The Extremal Dependence Measure and Asymptotic Independence
- The noisy secretary problem and some results on extreme concomitant variables
- Probabilistic choice with an infinite set of options: an approach based on random sup measures
- Empirical estimation of tail dependence using copulas: application to Asian markets
- On the strong Kotz approximation of Dirichlet random vectors
- Non-parametric Estimation of Tail Dependence
- Approximation and estimation of very small probabilities of multivariate extreme events
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
- The limiting copula of the two largest order statistics of independent and identically distributed samples
- Estimating a bivariate tail: a copula based approach
- Geometric interpretation of the residual dependence coefficient
- On asymptotics of multivariate integrals with applications to records
- Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods
- Diagnostics for Dependence within Time Series Extremes
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Living on the multidimensional edge: Seeking hidden risks using regular variation
- Multivariate extreme value theory and its usefulness in understanding risk
- Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
- Asymptotics of sum of heavy-tailed risks with copulas
- Detecting a conditional extreme value model
- Inference for new environmental contours using extreme value analysis
- An M-estimator for tail dependence in arbitrary dimensions
- Tail dependence matrices and tests based on Spearman's and Kendall's
- Asymptotic independence in more than two dimensions and its implications on risk management
- Multivariate records and hitting scenarios
- On the tail dependence in bivariate hydrological frequency analysis
- On the regular variation of ratios of jointly Fréchet random variables
- Fitting and validation of a bivariate model for large claims
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