Statistics for near independence in multivariate extreme values (Q3837347)
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English | Statistics for near independence in multivariate extreme values |
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Statistics for near independence in multivariate extreme values (English)
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2 March 1997
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asymptotic independence
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coefficient of tail dependence
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generalized Pareto distribution
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maximum likelihood
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nonregular estimation
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Poisson process
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threshold exceedance
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multivariate extreme value threshold model
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joint tail estimation
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near independence
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tests for independence of extremes
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marginal variables
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characterization of dependence
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diagnostic test
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simulation
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