Estimating a bivariate tail: a copula based approach

DOI10.1016/j.jmva.2013.03.020zbMath1359.62182MaRDI QIDQ391665

Véronique Maume-Deschamps, Clémentine Prieur, Elena Di Bernardino

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.03.020

zbMATH Keywords

extreme value theory; tail dependence; peaks-over-threshold method; Pickands-Balkema-de Haan theorem

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

Related Items

Multivariate extreme value theory -- a tutorial

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