How to model multivariate extremes if one must?
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Publication:5313467
DOI10.1111/j.1467-9574.2005.00289.xzbMath1069.62042OpenAlexW2120132808MaRDI QIDQ5313467
Publication date: 1 September 2005
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9574.2005.00289.x
copulaheavy-tailed distributionextreme value distributionelliptical distributionmultivariate regular variation
Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
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