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A method of moments estimator of tail dependence

✍ Scribed by Einmahl, John H.J.; Krajina, Andrea; Segers, Johan

Book ID: 121712412
Publisher: Bernoulli Society for Mathematical Statistics and Probability
Year: 2008
Tongue: English
Weight: 321 KB
Volume: 14
Category: Article
ISSN: 1350-7265
DOI: 10.3150/08-bej130

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**Abstract.** Dependencies between extreme events (extremal dependencies) are attracting an increasing attention in modern risk management. In practice, the concept of tail dependence represents the current standard to describe the amount of extremal dependence. In theory, multi‐variate extreme‐valu