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

DOI10.1016/j.insmatheco.2020.05.002zbMath1448.62074arXiv1904.00917OpenAlexW3029048952MaRDI QIDQ784445

Jaakko Lehtomaa, Sidney I. Resnick

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 independencepower lawsupport estimationmultivariate regular variationheavy-tailed data

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Random measures (60G57)

Related Items (2)

Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’ ⋮ Sparse regular variation

Uses Software

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

Cites Work

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