Estimating the spectral measure of an extreme value distribution
نویسندگان
چکیده
منابع مشابه
Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme-value Distribution
Consider a random sample from a bivariate distribution function F in the max-domain of attraction of an extreme-value distribution function G. This G is characterized by two extreme-value indices and a spectral measure, the latter determining the tail dependence structure of F . A major issue in multivariate extreme-value theory is the estimation of the spectral measure Φp with respect to the L...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1997
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(97)00065-3