A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions

John Einmahl, A. Kiriliouk and J.J.J. Segers
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J.J.J. Segers: Tilburg University, Center For Economic Research

No 2016-002, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Brown-resnick process; extremal coefficient; max-linear model; multivariate extremes; stable tail dependence function (search for similar items in EconPapers)
Date: 2016
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Related works:
Working Paper: A continuous updating weighted least squares estimator of tail dependence in high dimensions (2018)
Working Paper: A continuous updating weighted least squares estimator of tail dependence in high dimensions (2016)
Working Paper: A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions (2016)
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