Extremal dependence measure and extremogram: the regularly varying case
DOI10.1007/S10687-011-0135-9zbMATH Open1329.60153OpenAlexW2083632918MaRDI QIDQ906650FDOQ906650
Martin Larsson, Sidney I. Resnick
Publication date: 22 January 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-011-0135-9
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)
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Cited In (13)
- New characterizations of multivariate max-domain of attraction and \(D\)-norms
- Total positivity in multivariate extremes
- Estimating an extreme Bayesian network via scalings
- Statistics for tail processes of Markov chains
- Discussion of ‘On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures’
- Transformed-linear models for time series extremes
- Simultaneous autoregressive models for spatial extremes
- Simulating flood event sets using extremal principal components
- Partial Tail-Correlation Coefficient Applied to Extremal-Network Learning
- Asymptotic independence and support detection techniques for heavy-tailed multivariate data
- Extremal dependence measure for functional data
- On the measurement and treatment of extremes in time series
- Measuring the extremal dependence
Uses Software
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