The method of moments ratio estimator for the tail shape parameter
نویسندگان
چکیده
منابع مشابه
A method of moments estimator of tail dependence
In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly multivariate setting. We consider a semi-parametric model in which the stable tail dependence function is parametrically modeled. Given a random...
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ژورنال
عنوان ژورنال: Communications in Statistics - Theory and Methods
سال: 1996
ISSN: 0361-0926,1532-415X
DOI: 10.1080/03610929608831727