Estimating the tail dependence function of an elliptical distribution

Bernoulli

Volumn 13, Issue 1, 2007, Pages 229-251

  Klüppelberg, Claudia ^a   Kuhn, Gabriel ^a   Peng, Liang ^b  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Asymptotic normality; Elliptical distribution; Regular variation; Tail dependence function

Indexed keywords

EID: 36549085102     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/07-BEJ6047     Document Type: Article

References (22)

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