Bivariate tail estimation: dependence in asymptotic independence

JOURNAL ARTICLE published 1 April 2004 in Bernoulli

Authors: Gerrit Draisma | Holger Drees | Ana Ferreira | Laurens De Haan

Estimating failure probabilities

JOURNAL ARTICLE published 1 May 2015 in Bernoulli

Authors: Holger Drees | Laurens de Haan

On maximum likelihood estimation of the extreme value index

JOURNAL ARTICLE published 1 August 2004 in The Annals of Applied Probability

Authors: Holger Drees | Ana Ferreira | Laurens de Haan

Distribution and Dependence-Function Estimation for Bivariate Extreme-Value Distributions

JOURNAL ARTICLE published October 2000 in Bernoulli

Authors: Peter Hall | Nader Tajvidi

Tail asymptotics for the extremes of bivariate Gaussian random fields

JOURNAL ARTICLE published 1 August 2017 in Bernoulli

Authors: Yuzhen Zhou | Yimin Xiao

The generalized Pareto process; with a view towards application and simulation

JOURNAL ARTICLE published 1 November 2014 in Bernoulli

Authors: Ana Ferreira | Laurens de Haan

A stochastic volatility model with flexible extremal dependence structure

JOURNAL ARTICLE published 1 August 2016 in Bernoulli

Authors: Anja Janssen | Holger Drees

Estimation and testing in a partial linear regression model under long-memory dependence

JOURNAL ARTICLE published 1 February 2004 in Bernoulli

Authors: Germán Aneiros-Pérez | Wenceslao González-Manteiga | Philippe Vieu

Extreme quantile estimation for dependent data, with applications to finance

JOURNAL ARTICLE published 1 August 2003 in Bernoulli

Authors: Holger Drees

Estimation and hypotheses testing in boundary regression models

JOURNAL ARTICLE published 1 February 2019 in Bernoulli

Authors: Holger Drees | Natalie Neumeyer | Leonie Selk

Asymptotic dependence of bivariate maxima

JOURNAL ARTICLE published 3 July 2019 in Communications in Statistics - Theory and Methods

Authors: Helena Ferreira | Marta Ferreira

A note on nonparametric estimation of bivariate tail dependence

JOURNAL ARTICLE published 28 June 2014 in Statistics & Risk Modeling

Authors: Axel Bücher

Asymptotic power of Rao’s score test for independence in high dimensions

JOURNAL ARTICLE published 1 February 2019 in Bernoulli

Authors: Dennis Leung | Qiman Shao

Estimating the coefficient of asymptotic tail independence

JOURNAL ARTICLE published 1 July 2016 in Advances in Methodology and Statistics

Authors: Marta Ferreira

Central limit theorems and asymptotic independence for local U-statistics on diverging halfspaces

JOURNAL ARTICLE published 1 November 2023 in Bernoulli

Authors: Andrew M. Thomas

Bayesian estimation of a bivariate copula using the Jeffreys prior

JOURNAL ARTICLE published 1 May 2012 in Bernoulli

Authors: Simon Guillotte | François Perron

Estimation of the coefficient of tail dependence in bivariate extremes

JOURNAL ARTICLE published July 1999 in Statistics & Probability Letters

Authors: L. Peng

Tail and Quantile Estimation for Strongly Mixing Stationary Sequences

REPORT published 1 April 1990

Authors: Holger Rootzen | M. R. Leadbetter | Laurens De Haan

Asymptotic normality of urn models for clinical trials with delayed response

JOURNAL ARTICLE published 1 June 2004 in Bernoulli

Authors: Feifang Hu | Li-Xin Zhang

The Extremal Dependence Measure and Asymptotic Independence

JOURNAL ARTICLE published 31 December 2004 in Stochastic Models

Authors: Sidney Resnick