Extreme value copula estimation based on block maxima of a multivariate stationary time series

Author:

Bücher Axel,Segers Johan

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Reference36 articles.

1. Amram, F.: Multivariate extreme value distributions for stationary gaussian sequences. J. Multivar. Anal. 16, 237–240 (1985)

2. Beirlant, J., Goegebeur, Y., Segers, J., Teugels, J.: Statistics of extremes: theory and applications. Wiley, Chichester (2004)

3. Berbee, H.C.P.: Random walks with stationary increments and renewal theory, Volume 112 of Mathematical Centre Tracts. Amsterdam: Mathematisch Centrum (1979)

4. Berghaus, B., Bücher, A., D. H.: Minimum distance estimators of the pickands dependence function and related tests of multivariate extreme-value dependence. J. de la Société Française de Stat. 154, 116–137 (2013)

5. Bradley, R.C: Basic properties of strong mixing conditions. a survey and some open questions. Probab. Surv. 2, 107–144 (2005). Update of, and a supplement to, the 1986 original

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