Extremal Covariance Matrices
The tail dependence coefficient (TDC) is a natural tool to describe extremal dependence. Estimation of the tail dependence coefficient can be performed via empirical process theory. In case of extremal independence, the limit degenerates and hence one cannot construct a test for extremal independenc...
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| Language: | en |
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Université d'Ottawa / University of Ottawa
2018
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| Online Access: | http://hdl.handle.net/10393/37124 http://dx.doi.org/10.20381/ruor-21396 |