Testing extreme value copulas to estimate the quantile

MaRDI QIDQ2920839zbMATH OpenFDO

Authors Zuhair Bahraoui, Catalina Bolancé, Ana M. Pérez-Marín

Publication date 29 September 2014

Published in SORT. Statistics and Operations Research Transactions (Search for Journal in Brave)

Full work available at URL http://www.idescat.cat/sort/sort381/38.1.6.bahraoui-etal.pdf

zbMATH Keywords

extreme value copulaextreme value distributionsquantile

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic properties of parametric tests (62F05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution
• Quantifying the risk using copulae with nonparametric marginals

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