Optimal weighted pooling for inference about the tail index and extreme quantiles
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- Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non‐parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335, June.
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More about this item
Keywords
Extreme values ; Heavy tails ; Distributed inference ; Pooling ; Testing;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2022-04-11 (Banking)
- NEP-ECM-2022-04-11 (Econometrics)
- NEP-RMG-2022-04-11 (Risk Management)
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