A Method of Moments Estimator of Tail Dependence
| Year of publication: |
2007
|
|---|---|
| Authors: | Einmahl, John ; Krajina, A. ; Segers, J.J.J. |
| Institutions: | Tilburg University, Center for Economic Research |
| Subject: | asymptotic properties | confidence regions | goodness-of-fit test | meta-elliptical distribution | method of moments | multivariate extremes | tail dependence |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series CentER Discussion Paper Number 2007-80 |
| Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods |
| Source: |
Persistent link: https://www.econbiz.de/10011091710