A continuous updating weighted least squares estimator of tail dependence in high dimensions

John Einmahl, Anna Kiriliouk and Johan Segers

No 2016002, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2016-01-01
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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)
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