Maximum likelihood estimation of elliptical tail
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Cites work
- A Mixture Model for Multivariate Extremes
- A sum characterization of hidden regular variation with likelihood inference via expectation-maximization
- Acceptance–Rejection Sampling Made Easy
- Adaptive estimates of parameters of regular variation
- An M-estimator of spatial tail dependence
- Dependence structure of risk factors and diversification effects
- Estimating the tail dependence function of an elliptical distribution
- Estimation of extreme risk regions under multivariate regular variation
- Estimation of the tail exponent of multivariate regular variation
- Higher order tail densities of copulas and hidden regular variation
- How to make a Hill plot.
- scientific article; zbMATH DE number 1022658 (Why is no real title available?)
- Maximum composite likelihood estimation for spatial extremes models of Brown-Resnick type with application to precipitation data
- Models with hidden regular variation: generation and detection
- Multivariate extremes, aggregation and dependence in elliptical distributions
- On optimal portfolio diversification with respect to extreme risks
- Principal component analysis for multivariate extremes
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Smoothing the Hill Estimator
- Tail densities of skew-elliptical distributions
- Using a bootstrap method to choose the sample fraction in tail index estimation
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