Self-consistent estimation of conditional multivariate extreme value distributions
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Publication:2443252
DOI10.1016/j.jmva.2014.02.003zbMath1293.62112MaRDI QIDQ2443252
Publication date: 7 April 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.02.003
quantile regression; coefficient of tail dependence; multivariate extreme value theory; self-consistency; conditional analysis; Heffernan-Tawn model
62G32: Statistics of extreme values; tail inference
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