On multivariate Gaussian tails
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DOI: 10.1007/BF02517804
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References listed on IDEAS
- Szarek, Stanislaw J. & Werner, Elisabeth, 1999. "A Nonsymmetric Correlation Inequality for Gaussian Measure," Journal of Multivariate Analysis, Elsevier, vol. 68(2), pages 193-211, February.
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- Rabovič, Renata & Čížek, Pavel, 2023.
"Estimation of spatial sample selection models: A partial maximum likelihood approach,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 214-243.
- Rabovic, Renata & Cizek, Pavel, 2016. "Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach," Other publications TiSEM 8a4b2e5d-6787-4685-8b9e-1, Tilburg University, School of Economics and Management.
- Rabovic, Renata & Cizek, Pavel, 2016. "Estimation of Spatial Sample Selection Models : A Partial Maximum Likelihood Approach," Discussion Paper 2016-013, Tilburg University, Center for Economic Research.
- Rabovic, R. & Cizek, P., 2020. "Estimation of Spatial Sample Selection Models: A Partial Maximum Likelihood Approach," Cambridge Working Papers in Economics 2012, Faculty of Economics, University of Cambridge.
- Hashorva, Enkelejd, 2009. "Asymptotics for Kotz Type III elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 927-935, April.
- Hashorva, Enkelejd & Hüsler, Jürg, 2005. "Multiple maxima in multivariate samples," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 11-17, November.
- Das, Bikramjit & Fasen-Hartmann, Vicky, 2024. "On heavy-tailed risks under Gaussian copula: The effects of marginal transformation," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
- Z. I. Botev, 2017. "The normal law under linear restrictions: simulation and estimation via minimax tilting," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 125-148, January.
- Peter Tankov, 2014. "Tails of weakly dependent random vectors," Papers 1402.4683, arXiv.org, revised Jan 2016.
- Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
- Bikramjit Das & Vicky Fasen-Hartmann, 2023. "On heavy-tailed risks under Gaussian copula: the effects of marginal transformation," Papers 2304.05004, arXiv.org.
- Zdravko I. Botev & Robert Salomone & Daniel Mackinlay, 2019. "Fast and accurate computation of the distribution of sums of dependent log-normals," Annals of Operations Research, Springer, vol. 280(1), pages 19-46, September.
- Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
- Hua, Lei, 2017. "On a bivariate copula with both upper and lower full-range tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 94-104.
- Remco Hofstad & Harsha Honnappa, 2019. "Large deviations of bivariate Gaussian extrema," Queueing Systems: Theory and Applications, Springer, vol. 93(3), pages 333-349, December.
- Hashorva, Enkelejd, 2008. "Tail asymptotic results for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 158-164, August.
- Zdravko Botev & Michel Mandjes & Ad Ridder, 2015. "Tail Distribution of the Maximum of Correlated Gaussian Random Variables," Tinbergen Institute Discussion Papers 15-132/III, Tinbergen Institute.
- Tankov, Peter, 2016. "Tails of weakly dependent random vectors," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 73-86.
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Keywords
Multivariate Mills ratio; Gaussian random sequences; tail asymptotics; quadratic programming;All these keywords.
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