Bivariate tail estimation: Dependence in asymptotic independence

Bernoulli

Volumn 10, Issue 2, 2004, Pages 251-280

  Draisma, Gerrit ^a   Drees, Holger ^b   Ferreira, Ana ^c,d   De Haan, Laurens ^e  

^a ERASMUS MEDICAL CENTER   (Netherlands)

^b UNIVERSITY OF HAMBURG   (Germany)

^c EURANDOM   (Netherlands)

^d UNIVERSITY OF LISBON   (Portugal)

^e ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

Asymptotic normality; Bivariatc extreme value distribution; Coefficient of tail dependence; Copula; Failure probability; Hill estimator; Moment estimator

Indexed keywords

EID: 3543038081     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1082380219     Document Type: Article

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