Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function
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References listed on IDEAS
- Einmahl, J. H. J. & Dehaan, L. & Huang, X., 1993.
"Estimating a Multidimensional Extreme-Value Distribution,"
Journal of Multivariate Analysis,
Elsevier, vol. 47(1), pages 35-47, October.
- Einmahl, J.H.J. & de Haan, L. & Xin, H., 1993. "Estimating a multidimensional extreme-value distribution," Other publications TiSEM 2816eb0c-8f15-4111-94f5-6, Tilburg University, School of Economics and Management.
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Keywordsasymptotic normality; bivariate extreme value distribution; domain of attraction; rate of convergence; stable tail dependence function; tail empirical dependence function;
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