An M-Estimator for Tail Dependence in Arbitrary Dimensions
Year of publication: |
2011
|
---|---|
Authors: | Einmahl, John ; Krajina, A. ; Segers, J. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | asymptotic statistics | factor model | M-estimation | multivariate extremes | tail dependence |
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