Statistics for near independence in multivariate extreme values (Q3837347)
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scientific article; zbMATH DE number 955022
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Statistics for near independence in multivariate extreme values |
scientific article; zbMATH DE number 955022 |
Statements
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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0.840157687664032
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0.833361804485321
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0.8258706331253052
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0.8228456377983093
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0.8177037239074707
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