Semi-parametric approximation of Kendall's distribution function and multivariate return periods

zbMATH Open1316.62072MaRDI QIDQ5262088FDOQ5262088

Authors: G. Salvadori, Fabrizio Durante, Elisa Perrone 

Publication date: 13 July 2015

Full work available at URL: http://journal-sfds.fr/article/view/161/

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zbMATH Keywords

risk assessmentcopulasKendall's distribution functionmultivariate return periods

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Geostatistics (86A32)

Cited In (6)

• Estimation of extreme quantiles conditioning on multivariate critical layers
• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
• Bivariate return periods via 2-copulas
• Nonparametric estimation of multivariate quantiles
• On the length of copula level curves
• Title not available (Why is that?)

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