A statistical methodology for assessing the maximal strength of tail dependence
Year of publication: |
2020
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Authors: | Sun, Ning ; Yang, Chen ; Zitikis, Ričardas |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 50.2020, 3, p. 799-825
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Subject: | Copula | Kendall's distribution | maximal tail dependence | statistical estimation | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Statistische Methode | Statistical method | Statistische Methodenlehre | Statistical theory | Ausreißer | Outliers |
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