Estimation of the coefficient of tail dependence in bivariate extremes
Date
1999
Authors
Peng, L
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Publisher
Elsevier
Abstract
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.
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Keywords: Bivariate extremes; Coefficient of tail dependence; Extreme value theory; Regular variation
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Source
Statistics and Probability Letters
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Journal article
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Restricted until
2037-12-31
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