Di Bernardino, Elena; Maume-Deschamps, Véronique; … - In: Journal of Multivariate Analysis 119 (2013) C, pp. 81-100
general extension of the POT (peaks-over-threshold) method, mainly based on a two-dimensional version of the Pickands–Balkema–de … Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence, and we provide a way to …