On estimating extremal dependence structures by parametric spectral measures

Author:

Beran Jan,Mainik Georg

Publisher

Elsevier BV

Subject

Statistics and Probability

Reference18 articles.

1. Information theory and an extension of the maximum likelihood principle;Akaike,1973

2. A mixture model for multivariate extremes;Boldi;J. Roy. Statist. Soc. Ser. B,2007

3. A nonparametric estimation procedure for bivariate extreme value copulas;Capéraà;Biometrika,1997

4. Limit theory for multivariate sample extremes;de Haan;Z. Wahrscheinlichkeitstheor. Verwandte Geb.,1977

5. On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions;Deheuvels;Statist. Probab. Lett.,1991

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. On the structure of exchangeable extreme-value copulas;Journal of Multivariate Analysis;2020-11

2. Conditional Extremes in Asymmetric Financial Markets;Journal of Business & Economic Statistics;2018-07-31

3. On the effect of long-range dependence on extreme value copula estimation with fixed marginals;Communications in Statistics - Theory and Methods;2016-07-19

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