Extreme Value Theory (EVT) offers a rigorous framework for the statistical analysis of rare, high-impact events by focusing on the tail behaviour of distributions. This theory underpins methodologies ...
We propose a multivariate extreme value threshold model for joint tail estimation which overcomes the problems encountered with existing techniques when the variables are near independence. We examine ...
Starting from the characterization of extreme-value copulas based on max-stability, largesample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the ...
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