Estimation of the coefficient of tail de
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L. Peng
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Article
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1999
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Elsevier Science
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English
โ 137 KB
In this paper we shall give an alternative derivation of the coe cient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169 -187] and propose a consistent estimator, which is asymptotically normal.