Tail dependence under sample failures

DOI10.1137/S0040585X97T989751MaRDI QIDQ5216296zbMATH OpenOpenAlexFDO

Authors Marta Ferreira, Helena Ferreira

Publication date 17 February 2020

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t989751

zbMATH Keywords

stationary sequencetheory of extreme valuesasymptotic independence of extreme valuesdependence on extreme values

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Asymptotically (in)dependent multivariate maxima of moving maxima process
• Bivariate extreme statistics. I
• Extremes of Stationary Sequences with Failures
• Fragility index of block tailed vectors
• On extremal dependence of block vectors
• On extremal dependence: some contributions
• On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
• On the extremal dependence coefficient of multivariate distributions
• Pareto processes
• Statistics for near independence in multivariate extreme values
• Tail and dependence behavior of levels that persist for a fixed period of time
• Tail dependence between order statistics
• Tail dependence of a Pareto process

Cited in

(1)

• Tail dependence from a distributional point of view

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