Extremes of alpha-ARCH models
Year of publication: |
2000
|
---|---|
Authors: | Robert, Christian |
Published in: |
Measuring risk in complex stochastic systems. - New York : Springer, ISBN 0-387-98996-X. - 2000, p. 223-257
|
Subject: | Ausreißer | Outliers | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Statistische Verteilung | Statistical distribution | Radikalismus | Radicalism |
-
Consistent empirical estimators of multivariate extreme value distribution
Haan, Laurens de, (1991)
-
Auto-dependence structure of arch-models : tail dependence coefficients
Brummelhuis, Raymond, (2006)
-
A note on a non-parametric tail dependence estimator
Fischer, Matthias, (2006)
- More ...
-
Bayesian modelling and inference on mixtures of distributions
Marin, Jean-Michel, (2005)
-
Maximum likelihood estimation of order restricted parameters : a Bayesian approach
Robert, Christian P., (1994)
-
Mixtures of distributions : inference and estimation
Robert, Christian P., (1994)
- More ...