Statistics of extremes: Estimation and optimality

A. Ferreira

Statistics of extremes: Estimation and optimality

A. Ferreira

Econometrics and OR

Research output: Thesis › Doctoral Thesis

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Abstract

In the bivariate setting, i.e. when we have two variables jointly playing a role, the estimation of tail dependence and probability of an extreme set is addressed.

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	de Haan, L.F.M., Promotor Einmahl, John, Promotor
Award date	25 Nov 2002
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	9056681069
Publication status	Published - 2002

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title = "Statistics of extremes: Estimation and optimality",

abstract = "In the bivariate setting, i.e. when we have two variables jointly playing a role, the estimation of tail dependence and probability of an extreme set is addressed.",

author = "A. Ferreira",

year = "2002",

language = "English",

isbn = "9056681069",

series = "CentER Dissertation Series",

publisher = "CentER, Center for Economic Research",

school = "Tilburg University",

}

TY - BOOK

T1 - Statistics of extremes

T2 - Estimation and optimality

AU - Ferreira, A.

PY - 2002

Y1 - 2002

N2 - In the bivariate setting, i.e. when we have two variables jointly playing a role, the estimation of tail dependence and probability of an extreme set is addressed.

AB - In the bivariate setting, i.e. when we have two variables jointly playing a role, the estimation of tail dependence and probability of an extreme set is addressed.

M3 - Doctoral Thesis

SN - 9056681069

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Statistics of extremes: Estimation and optimality

Abstract

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