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Non-Parametric Estimation of the Limit Dependence Function of Multivariate Extremes

✍ Scribed by B. Abdous; K. Ghoudi; A. Khoudraji

Book ID
110283824
Publisher
Springer
Year
2000
Tongue
English
Weight
155 KB
Volume
2
Category
Article
ISSN
1386-1999

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Non-parametric Estimation of Tail Depend
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✍ RAFAEL SCHMIDT; ULRICH STADTMÜLLER πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 556 KB

**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