Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition
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- Einmahl, J.H.J. & de Haan, L.F.M. & Li, D., 2004. "Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition," Discussion Paper 2004-71, Tilburg University, Center for Economic Research.
References listed on IDEAS
- Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
- Einmahl, J.H.J. & de Haan, L.F.M. & Piterbarg, V.I., 2001. "Nonparametric estimation of the spectral measure of an extreme value distribution," Other publications TiSEM c3485b9b-a0bd-456f-9baa-0, Tilburg University, School of Economics and Management.
- Einmahl, J.H.J., 1992. "Limit theorems for tail processes with application to intermediate quantile estimation," Other publications TiSEM 063e51b0-445d-4764-96a2-4, Tilburg University, School of Economics and Management.
- Schlather, Martin, 2001. "Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 325-329, June.
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