On the tail behaviour of aggregated random variables
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Publication:2079609
DOI10.1016/j.jmva.2022.105065OpenAlexW3164205687MaRDI QIDQ2079609
Jordan Richards, Jonathan A. Tawn
Publication date: 30 September 2022
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.11917
aggregationextreme value theoryconditional extremesgeneralised Pareto distributioncopula modelscoefficient of asymptotic independence
Asymptotic distribution theory in statistics (62E20) Extreme value theory; extremal stochastic processes (60G70)
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