A method of moments estimator of tail dependence in meta-elliptical models
DOI10.1016/J.JSPI.2012.01.020zbMATH Open1237.62058OpenAlexW2078651795MaRDI QIDQ419290FDOQ419290
Authors: Andrea Krajina 
Publication date: 18 May 2012
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.2012.01.020
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Cited In (6)
- A method of moments estimator of tail dependence
- Bias correction in multivariate extremes
- Multivariate Hill Estimators
- Statistical procedures for the selection of a multidimensional meta-elliptical distribution
- Identifiability and estimation of meta-elliptical copula generators
- Estimating the tail dependence function of an elliptical distribution
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