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An M-Estimator For Tail Dependence In Arbitrary Dimensions
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Document type | Document de travail (Working Paper) |
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Access type | Accès libre |
Publication date | 2011 |
Language | Anglais |
Number of pages | 23 pages |
Collection | ISBA Discussion Paper - 2011/05 |
Affiliations |
UCL
- SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles Tilburg University and CentER University of Göttingen - Institute for Mathematical Stochastics |
Keywords | Asymptotic statistics ; Factor model ; M-estimation ; Multivariate extremes ; Tail dependence |
Links |
Bibliographic reference | EINMAHL, John H.J. ; KRAJINA, Andrea ; Segers, Johan. An M-Estimator For Tail Dependence In Arbitrary Dimensions. ISBA Discussion Paper ; 2011/05 (2011) 23 pages |
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Permanent URL | http://hdl.handle.net/2078.1/76454 |