Skip navigation
Skip navigation

Estimation of the coefficient of tail dependence in bivariate extremes

Peng, L

Description

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
URI: http://hdl.handle.net/1885/92045
Source: Statistics and Probability Letters

Download

File Description SizeFormat Image
01_Peng_Estimation_of_the_coefficient_1999.pdf136.69 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  23 August 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator