Testing for Tail Independence in Extreme Value models
| Year of publication: |
2006
|
|---|---|
| Authors: | Falk, Michael ; Michel, René |
| Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 58.2006, 2, p. 261-290
|
| Publisher: |
Springer |
| Subject: | Bivariate extremes | Pickands dependence function | Tail independence | Tail dependence parameter | Neyman–Pearson test | Kolmogorov–Smirnov test | Fisher’s κ | Chi-square goodness-of-fit test | Differentiable spectral neighborhood | Generalized Pareto distribution |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005395813