Multivariate extremes, aggregation and dependence in elliptical distributions

Advances in Applied Probability

Volumn 34, Issue 3, 2002, Pages 587-608

  Hult, Henrik ^a   Lindskog, Filip ^a  

^a ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

Elliptical distribution; Kendall's tau; Multivariate extreme; Regular variation; Spearman's rho; Tail dependence

Indexed keywords

AGGLOMERATION; COMPUTATIONAL METHODS; CORRELATION METHODS; MATRIX ALGEBRA; VECTORS;

ELLIPTICAL DISTRIBUTIONS;

MULTIVARIABLE SYSTEMS;

EID: 0036756224     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1033662167     Document Type: Article

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