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Estimation of a Bivariate Extreme Value Distribution · Study

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ArticleEstimation of a Bivariate Extreme Value Distribution

Philippe Capéraà2000

Article2000

Estimation of a Bivariate Extreme Value Distribution

Philippe Capéraà · Anne‐Laure Fougères

36 citations·0/0 files stored·Extremes

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1987Extreme Values, Regular Variation and Point Processes 1990The Asymptotic Theory of Extreme Order Statistics 1990Models for Exceedances Over High Thresholds 1996Statistics for near independence in multivariate extreme values 1988Bivariate Extreme Value Theory: Models and Estimation 1991Modelling Extreme Multivariate Events 1977Limit theory for multivariate sample extremes 1997A nonparametric estimation procedure for bivariate extreme value copulas

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2014Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology 2005Non-parametric estimators of multivariate extreme dependence functions

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Year2000

Typearticle

Published2000-12-01

VenueExtremes

ISSN-L1386-1999

Languageen

Citations36

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ShelfProbability and Risk Models

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doi10.1023/a:1012241624430

openalex_workW194758794

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