Tail dependence of recursive max-linear models with regularly varying noise variables
نویسندگان
چکیده
منابع مشابه
Tail Dependence for Regularly Varying Time Series
We use tail dependence functions to study tail dependence for regularly varying RV time series. First, tail dependence functions about RV time series are deduced through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain the expressions of the tail dependence parameters based...
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ژورنال
عنوان ژورنال: Econometrics and Statistics
سال: 2018
ISSN: 2452-3062
DOI: 10.1016/j.ecosta.2018.02.003