Estimating the tail-dependence coefficient: properties and pitfalls
From MaRDI portal
Publication:2567090
DOI10.1016/j.insmatheco.2005.05.008zbMath1101.62012MaRDI QIDQ2567090
Gabriel Frahm, Rafael Schmidt, Markus Junker
Publication date: 29 September 2005
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.008
62G05: Nonparametric estimation
62F10: Point estimation
62G32: Statistics of extreme values; tail inference
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