Choice of smoothing parameter in multivariate copula-based tail coefficients
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Publication:2156814
DOI10.1016/j.jspi.2022.04.002OpenAlexW4224290926MaRDI QIDQ2156814
Marek Omelka, Vojtěch Kika, Irène Gijbels
Publication date: 20 July 2022
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2022.04.002
copulasmoothing parameter selectionasymptotic mean squared errorFrahm's tail coefficienttail dependency
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