On the foundations of multivariate heavy-tail analysis
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Publication:4822461
DOI10.1239/jap/1082552199zbMath1049.62056OpenAlexW1973520764MaRDI QIDQ4822461
Publication date: 25 October 2004
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/1813/9213
Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)
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