Testing for Tail Independence in Extreme Value models

Michael Falk () and René Michel

Annals of the Institute of Statistical Mathematics, 2006, vol. 58, issue 2, 290 pages

Keywords: Bivariate extremes; Pickands dependence function; Tail independence; Tail dependence parameter; Neyman–Pearson test; Kolmogorov–Smirnov test; Fisher’s κ; Chi-square goodness-of-fit test; Differentiable spectral neighborhood; Generalized Pareto distribution (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10463-005-0016-6 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:58:y:2006:i:2:p:261-290

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-005-0016-6

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().