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

John Einmahl, Anna Kiriliouk and Johan Segers

No 2018019, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2018-01-01
Note: In : Extremes : statistical theory and applications in science, engineering and economics, vol. 21, no. 2, p. 205-233 (2018)
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Working Paper: A continuous updating weighted least squares estimator of tail dependence in high dimensions (2016)
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