Showing 1 - 2 of 2
For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of these functions are rank-based estimators whose inflated...
Persistent link: https://www.econbiz.de/10012842451
Persistent link: https://www.econbiz.de/10012110330