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  • Search: subject:"dependence function"
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Year of publication
Subject
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stable tail dependence function 13 Multivariate Verteilung 10 Multivariate distribution 10 Statistical distribution 10 Statistische Verteilung 10 multivariate extreme values 9 Ausreißer 8 Estimation theory 8 Outliers 8 Schätztheorie 8 dependence function 7 Risikomaß 6 Risk measure 6 decomposition of tail dependence 6 subsample bootstrap 6 tail correlation 6 Pickands dependence function 5 Bahadur efficiency 3 Copula 3 Dependence function 3 Kac empirical process 3 Risk management 3 Theorie 3 Theory 3 Time series analysis 3 Zeitreihenanalyse 3 decomposition of multivariate tail dependence 3 extreme dependence modeling 3 multivariate extremes 3 tail dependence function 3 Bootstrap approach 2 Bootstrap-Verfahren 2 Brown-resnick process 2 Correlation 2 Kiefer-Müller process 2 Korrelation 2 Multivariate Analyse 2 Multivariate analysis 2 Probability theory 2 Stable tail dependence function 2
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Online availability
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Undetermined 20 Free 17
Type of publication
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Article 20 Book / Working Paper 18
Type of publication (narrower categories)
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Working Paper 12 Article in journal 6 Aufsatz in Zeitschrift 6 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5
Language
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English 20 Undetermined 18
Author
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Bormann, Carsten 9 Schaumburg, Julia 9 Schienle, Melanie 9 Klüppelberg, Claudia 3 Kuhn, Gabriel 3 Einmahl, John H. J. 2 Hsing, Tailen 2 Kiriliouk, Anna 2 Segers, J. 2 Segers, Johan 2 Barakat, H. 1 Beghin, L. 1 Beghin, Luisa 1 Begin, L. 1 Chang, Meng-Shiuh 1 Charpentier, A. 1 Drees, Holger 1 Einmahl, John 1 Falk, Michael 1 Fils-Villetard, A. 1 Fougères, A.-L. 1 Fougères, Anne-Laure 1 Frick, Melanie 1 Genest, C. 1 Goegebeur, Yuri 1 Guillou, A. 1 Guillou, Armelle 1 Gupta, Ramesh 1 Held, Leonhard 1 Hofert, Marius 1 Huang, Xin 1 Kato, Shogo 1 Kiriliouk, A. 1 Koike, Takaaki 1 Kolev, Nikolai 1 Krajina, A. 1 Krajina, Andrea 1 Ledwina, Teresa 1 Li, Lujun 1 Mercadier, Cécile 1
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Institution
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Tilburg University, Center for Economic Research 2 Graduate School of Economics and Business Administration, Hokkaido University 1 International Centre for Economic Research (ICER) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tinbergen Instituut 1
Published in...
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Journal of Multivariate Analysis 7 Discussion Paper 4 Annals of the Institute of Statistical Mathematics 2 Discussion Paper / Tilburg University, Center for Economic Research 2 Discussion paper / Center for Economic Research, Tilburg University 2 Insurance / Mathematics & economics 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Discussion paper / Tinbergen Institute 1 Discussion paper series. A 1 ICER Working Papers 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Journal of risk 1 KIT Working Paper Series in Economics 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Metrika 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SFB 649 discussion paper 1 Statistical Inference for Stochastic Processes 1 Statistical Methods and Applications 1 Statistical Papers / Springer 1 Statistics & Probability Letters 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working paper series in economics 1
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Source
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RePEc 20 ECONIS (ZBW) 11 EconStor 7
Showing 21 - 30 of 38
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Estimating tail dependence of elliptical distributions
Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006
of a multivariate extreme value distribution. In this chapter we study two estimators for the tail dependence function …
Persistent link: https://www.econbiz.de/10010266221
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When a copula is archimax
Wysocki, Włodzimierz - In: Statistics & Probability Letters 83 (2013) 1, pp. 37-45
We discuss necessary and sufficient conditions for a copula to be archimax. We give a differential equation (depending on a function parameter) whose solution gives an additive generator of an Archimedean copula. We present two important applications of this differential equation. The first...
Persistent link: https://www.econbiz.de/10011039890
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Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions
Ressel, Paul - In: Journal of Multivariate Analysis 117 (2013) C, pp. 246-256
Homogeneous distributions on R+d and on R¯+d∖︀{∞¯d} are shown to be Bauer simplices when normalized. This is used to provide spectral representations for the classical power mean values Mt(x) which turn out to be unique mixtures of the functions x⟼mini≤d(aixi) for t≤1 (with some...
Persistent link: https://www.econbiz.de/10011041967
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Dense classes of multivariate extreme value distributions
Fougères, Anne-Laure; Mercadier, Cécile; Nolan, John P. - In: Journal of Multivariate Analysis 116 (2013) C, pp. 109-129
between the scale function and the spectral measure or the stable tail dependence function are given. Combining scale …
Persistent link: https://www.econbiz.de/10010665722
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Projection Estimates of Constrained Functional Parameters
Fils-Villetard, A.; Guillou, A.; Segers, J. - Tilburg University, Center for Economic Research - 2005
AMS classifications: 62G05; 62G07; 62G08; 62G20; 62G32;
Persistent link: https://www.econbiz.de/10011091415
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Measures of multivariate asymptotic dependence and their relation to spectral expansions
Frick, Melanie - In: Metrika 75 (2012) 6, pp. 819-831
model. They take a specific shape then and are related to the Pickands dependence function and the exponent of variation of …
Persistent link: https://www.econbiz.de/10010896478
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Characterization of multivariate heavy-tailed distribution families via copula
Weng, Chengguo; Zhang, Yi - In: Journal of Multivariate Analysis 106 (2012) C, pp. 178-186
-tailed phenomena. This paper characterizes the MRV distributions through the tail dependence function of the copula associated with … them. Along with some existing results, our studies indicate that the existence of the lower tail dependence function of …
Persistent link: https://www.econbiz.de/10010572304
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Bayesian estimation of the false negative fraction in screening tests
Held, Leonhard; Ranyimbo, Argwings Otieno - 2004
means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the …
Persistent link: https://www.econbiz.de/10010266193
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel - 2004
means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the …
Persistent link: https://www.econbiz.de/10010332976
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Dependence estimation and visualization in multivariate extremes with applications to financial data
Hsing, Tailen; Klüppelberg, Claudia; Kuhn, Gabriel - 2003
introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a … nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure …
Persistent link: https://www.econbiz.de/10010266150
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