Copula structure analysis based on extreme dependence

DOI10.4310/SII.2015.v8.n1.a9zbMath1407.62164WikidataQ59278101 ScholiaQ59278101MaRDI QIDQ1747434

Claudia Klüppelberg, Stephan Haug, Gabriel Kuhn

Publication date: 8 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

risk analysis; multivariate statistics; Kendall's tau; factor analysis; structure analysis; elliptical copula; extreme value statistics; tail dependence function

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference