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Estimation of the coefficient of tail dependence in bivariate extremes

Peng, L


In this paper we shall give an alternative derivation of the coefficient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169-187] and propose a consistent estimator, which is asymptotically normal.

CollectionsANU Research Publications
Date published: 1999
Type: Journal article
Source: Statistics and Probability Letters


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