Estimation of the multivariate conditional tail expectation for extreme risk levels: Illustration on environmental data sets
Author:
Affiliation:
1. Laboratoire CEDRIC EA4629; Conservatoire National des Arts et Métiers; 292 rue Saint-Martin, 75003 Paris France
2. Université Grenoble Alpes, CNRS, Inria, Grenoble INP, LJK; 38000 Grenoble France
Funder
LabExPERSYVAL-Lab
French program Investissement d'avenir and LEFE-MANU-MULTIRISK
Publisher
Wiley
Subject
Ecological Modelling,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/env.2510/fullpdf
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5. Conditional tail expectations for multivariate phase-type distributions;Cai;Journal of Applied Probability,2005
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