A geometric investigation into the tail dependence of vine copulas
From MaRDI portal
Publication:2034451
DOI10.1016/j.jmva.2021.104736zbMath1467.62079arXiv2012.09623MaRDI QIDQ2034451
Jennifer L. Wadsworth, Jonathan A. Tawn, Emma S. Simpson
Publication date: 22 June 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.09623
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
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