Nonstationary modelling of tail dependence of two subjects' concentration
DOI10.1214/17-AOAS1111zbMATH Open1405.62244OpenAlexW2884362399WikidataQ125633631 ScholiaQ125633631MaRDI QIDQ1624851FDOQ1624851
Authors: Kshitij Sharma, V. Chavez-Demoulin, Pierre Dillenbourg 
Publication date: 16 November 2018
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aoas/1532743495
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Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to social sciences (62P25)
Cites Work
- Generalized additive models. An introduction with R.
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- Pair-copula constructions of multiple dependence
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- An introduction to copulas. Properties and applications
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- Bivariate extreme statistics. I
- Penalized Likelihood for General Semi-Parametric Regression Models
- Nonparametric estimation of the conditional tail copula
- Non-parametric Estimation of Tail Dependence
- Title not available (Why is that?)
- Nonparametric estimation of the tail-dependence coefficient
- Generalized additive models for conditional dependence structures
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