Expansions of multivariate Pickands densities and testing the tail dependence

Journal of Multivariate Analysis

Volumn 100, Issue 6, 2009, Pages 1168-1181

  Frick, Melanie ^a   Reiss, Rolf Dieter ^a  

^a UNIVERSITY OF SIEGEN   (Germany)

Author keywords

62G32; 62H05; 62H12; Extreme value dfs; Generalized Pareto dfs; Pickands dependence function; Tail independence; Uniformly most powerful Neyman Pearson tests

Indexed keywords

EID: 62349102652     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2008.10.012     Document Type: Article

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