Estimating multivariate extremal dependence: a new proposal
Multivariate extreme values require the use of extreme-value copulas, as they appear in the limit of componentwise maxima. These can be characterized by the so-called Pickands dependence function. A new multivariate nonparametric estimator will be presented, along with convergence properties. Based...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2016
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| Texto completo: | http://hdl.handle.net/1822/46968 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/46968 |