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  • Search: subject:"dominating tail behaviour"
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Subject
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Estimation 1 Multivariate Analyse 1 Multivariate analysis 1 Schätzung 1 Statistical distribution 1 Statistische Verteilung 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 dominating tail behaviour 1 heavy-tail distribution 1 multivariate data 1
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CC license 1 Free 1
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Article 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Hägele, Miriam 1 Lehtomaa, Jaakko 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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On the identification of the riskiest directional components from multivariate heavy-tailed data
Hägele, Miriam; Lehtomaa, Jaakko - In: Risks : open access journal 11 (2023) 7, pp. 1-18
In univariate data, there exist standard procedures for identifying dominating features that produce the largest number of observations. However, in the multivariate setting, the situation is quite different. This paper aims to provide tools and methods for detecting dominating directional...
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