Measures of multivariate asymptotic dependence and their relation to spectral expansions
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Publication:715491
DOI10.1007/s00184-011-0354-8zbMath1410.62072MaRDI QIDQ715491
Publication date: 29 October 2012
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-011-0354-8
spectral expansion; Pickands dependence function; asymptotic dependence structure; residual dependence index; tail dependence parameter
62G20: Asymptotic properties of nonparametric inference
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
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Cites Work
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