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  • Search: subject:"Extremal coefficient"
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Year of publication
Subject
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extremal coefficient function 6 extremal dependence 6 set covariance function 5 Ausreißer 3 Estimation theory 3 Extreme value theory 3 Outliers 3 Schätztheorie 3 Statistical distribution 3 Statistische Verteilung 3 extreme value theory 3 homometric 3 long memory 3 max-stable process 3 set correlation function 3 summability 3 Correlation 2 Extremal coefficient 2 Korrelation 2 Risikomaß 2 Risk measure 2 Spatial extremes 2 extremal coefficient 2 ARCH model 1 ARCH-Modell 1 Approximate Bayesian computing 1 Asymptotic independence 1 Brown-Resnick process 1 Brown‐Resnick process 1 Cauchy distribution 1 Composite likelihood 1 Extremal coefficient function 1 Fréchet distribution 1 Hüsler–Reiss distribution 1 Likelihood-free 1 Max-stable process 1 Max-stable processes 1 Multivariate Verteilung 1 Multivariate distribution 1 Multivariate extreme value theory 1
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Online availability
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Free 8 Undetermined 3
Type of publication
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Book / Working Paper 7 Article 4
Type of publication (narrower categories)
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Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1
Language
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English 8 Undetermined 3
Author
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Ehlert, Andree 6 Schlather, Martin 6 Einmahl, John H. J. 1 Erhardt, Robert J. 1 Ferreira, Helena 1 Ferreira, Marta 1 Kiriliouk, Anna 1 Makogin, Vitalii 1 Oesting, Marco 1 Padoan, Simone A. 1 Rapp, Albert 1 Segers, Johan 1 Smith, Richard L. 1 Spodarev, Evgeny 1
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Institution
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Courant Research Centre PEG 2
Published in...
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Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 2 Discussion Papers 2 Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis" 2 Computational Statistics & Data Analysis 1 Discussion paper / Center for Economic Research, Tilburg University 1 Journal of Multivariate Analysis 1 Journal of Time Series Analysis 1 Statistics & Probability Letters 1
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Source
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RePEc 5 ECONIS (ZBW) 3 EconStor 3
Showing 1 - 10 of 11
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Long range dependence for stable random processes
Makogin, Vitalii; Oesting, Marco; Rapp, Albert; … - In: Journal of Time Series Analysis 42 (2021) 2, pp. 161-185
proven in terms of integrability of the corresponding kernel functions. For max-stable processes, the extremal coefficient …
Persistent link: https://www.econbiz.de/10012428900
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A continuous updating weighted least squares estimator of tail dependence in high dimensions
Einmahl, John H. J.; Kiriliouk, Anna; Segers, Johan - 2016
Persistent link: https://www.econbiz.de/10011427965
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Some Results for Extreme Value Processes in Analogy to the Gaussian Spectral Representation
Ehlert, Andree; Schlather, Martin - 2010
The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values …. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type …. In particular, the reconstruction of valid processes from given extremal coefficient functions has not been considered …
Persistent link: https://www.econbiz.de/10010329892
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A Constructive Proof for the Extremal Coefficient of a Dissipative Max-Stable Process on Z being a Set Covariance
Ehlert, Andree; Schlather, Martin - 2010
Persistent link: https://www.econbiz.de/10010329980
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A Constructive Proof for the Extremal Coefficient of a Dissipative Max-Stable Process on Z being a Set Covariance
Ehlert, Andree; Schlather, Martin - Courant Research Centre PEG - 2010
Persistent link: https://www.econbiz.de/10008465172
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Cover Image
Some Results for Extreme Value Processes in Analogy to the Gaussian Spectral Representation
Ehlert, Andree; Schlather, Martin - Courant Research Centre PEG - 2010
The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values …. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type …. In particular, the reconstruction of valid processes from given extremal coefficient functions has not been considered …
Persistent link: https://www.econbiz.de/10008465173
Saved in:
Cover Image
Some results for extreme value processes in analogy to the Gaussian spectral representation
Ehlert, Andree; Schlather, Martin - 2010
The extremal coefficient function has been discussed as an analog of the autocovariance function for extreme values …. However, as to the behavior of valid extremal coefficient functions little is known apart from their positive definite type …. In particular, the reconstruction of valid processes from given extremal coefficient functions has not been considered …
Persistent link: https://www.econbiz.de/10010336338
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A constructive proof for the extremal coefficient of a dissipative max-stable process on Z being a set covariance
Ehlert, Andree; Schlather, Martin - 2010
Persistent link: https://www.econbiz.de/10010337314
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Extremal behavior of pMAX processes
Ferreira, Helena; Ferreira, Marta - In: Statistics & Probability Letters 93 (2014) C, pp. 46-57
The well-known M4 processes of Smith and Weissman are very flexible models for asymptotically dependent multivariate data. Extended M4 of Heffernan et al. allows to also account for asymptotic independence. In this paper we introduce a more general multivariate model comprising asymptotic...
Persistent link: https://www.econbiz.de/10011040105
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Extreme dependence models based on event magnitude
Padoan, Simone A. - In: Journal of Multivariate Analysis 122 (2013) C, pp. 1-19
By considering pointwise maxima of independent stationary random processes with dependent Cauchy marginals, we define a new process whose univariate limit distributions are Fréchet and the bivariate distributions interpolate between independence and complete dependence. The limiting dependence...
Persistent link: https://www.econbiz.de/10011042085
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