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By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...
Persistent link: https://www.econbiz.de/10010635212
management of bank supervisors. The copula approach seems to be a good compromise between all these models. It permits taking …
Persistent link: https://www.econbiz.de/10010738564