Estimation of the coefficient of tail dependence in bivariate extremes

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dc.contributor.authorPeng, L
dc.date.accessioned2015-12-13T23:24:03Z
dc.date.issued1999
dc.date.updated2015-12-12T09:18:58Z
dc.description.abstractIn 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.
dc.identifier.issn0167-7152
dc.identifier.urihttp://hdl.handle.net/1885/92045
dc.publisherElsevier
dc.sourceStatistics and Probability Letters
dc.subjectKeywords: Bivariate extremes; Coefficient of tail dependence; Extreme value theory; Regular variation
dc.titleEstimation of the coefficient of tail dependence in bivariate extremes
dc.typeJournal article
local.bibliographicCitation.issue4
local.bibliographicCitation.lastpage409
local.bibliographicCitation.startpage399
local.contributor.affiliationPeng, L, College of Physical and Mathematical Sciences, ANU
local.contributor.authoremailrepository.admin@anu.edu.au
local.contributor.authoruidPeng, L, u4177364
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.absfor020204 - Plasma Physics; Fusion Plasmas; Electrical Discharges
local.identifier.ariespublicationMigratedxPub23013
local.identifier.citationvolume43
local.identifier.scopusID2-s2.0-0033565125
local.identifier.uidSubmittedByMigrated
local.type.statusPublished Version

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