scientific article

zbMath1297.62115MaRDI QIDQ2923332

Marta Ferreira

Publication date: 15 October 2014

Full work available at URL: http://www.ine.pt/revstat/pdf/rs130101.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

extreme value theorystable tail dependence functiontail-dependence coefficient

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (12)

Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ Nonstationary modelling of tail dependence of two subjects' concentration ⋮ The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series ⋮ \(t\)-copula from the viewpoint of tail dependence matrices ⋮ A flexible and tractable class of one-factor copulas ⋮ An analysis of a heuristic procedure to evaluate tail (in)dependence ⋮ Tail dependence and smoothness of time series ⋮ A new blocks estimator for the extremal index ⋮ Unnamed Item ⋮ Conditional normal extreme-value copulas ⋮ Weighted least-squares inference for multivariate copulas based on dependence coefficients ⋮ Nonparametric estimation of general multivariate tail dependence and applications to financial time series

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