Asymptotic independence and support detection techniques for heavy-tailed multivariate data

DOI10.1016/j.insmatheco.2020.05.002zbMath1448.62074arXiv1904.00917MaRDI QIDQ784445

Sidney I. Resnick, Jaakko Lehtomaa

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.00917

zbMATH Keywords

asymptotic independence; power law; support estimation; multivariate regular variation; heavy-tailed data

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62E20: Asymptotic distribution theory in statistics

62G05: Nonparametric estimation

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60G57: Random measures

Uses Software

• R
• quantmod
• ismev
• QRM
• fitdistrplus
• plfit