On extremal dependence: some contributions
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References listed on IDEAS
- 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.
- Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
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- J. Sebastião & A. Martins & H. Ferreira & L. Pereira, 2013. "Estimating the upcrossings index," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(4), pages 549-579, November.
- Ferreira, Helena & Ferreira, Marta, 2014. "Extremal behavior of pMAX processes," Statistics & Probability Letters, Elsevier, vol. 93(C), pages 46-57.
More about this item
KeywordsExtreme values; Measures of tail dependence; Asymptotic independence; 60G70;
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