Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

Annals of Statistics

Volumn 34, Issue 4, 2006, Pages 1987-2014

  Einmahl, John H J ^a   De Haan, Laurens ^b   Li, Deyuan ^c  

^a TILBURG UNIVERSITY   (Netherlands)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c UNIVERSITY OF BERN   (Switzerland)

Author keywords

Bivariate extreme value theory; Dependence structure; Goodness of fit test; Tail copula process; Weighted approximation

Indexed keywords

EID: 33845332074     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/009053606000000434     Document Type: Article

References (17)

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