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Estimating Extreme Bivariate Quantile Regions

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Author Info
Einmahl, J.H.J.
Haan, L.F.M. de (Tilburg University, Center for Economic Research)

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Abstract

AMS 2000 subject classifications. Primary 62G32, 62G05; secondary 60G70, 60F05.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2009-29.

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Date of creation: 2009
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Handle: RePEc:dgr:kubcen:200929

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Web page: http://center.uvt.nl

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dehaan, L. & Huang, X., 1995. "Large Quantile Estimation in a Multivariate Setting," Journal of Multivariate Analysis, Elsevier, vol. 53(2), pages 247-263, May. [Downloadable!] (restricted)
  2. Einmahl, J.H.J. & Segers, J.J.J., 2008. "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution," Discussion Paper 2008-42, Tilburg University, Center for Economic Research. [Downloadable!]
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