Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/51284

TítuloEstimating the extremal coefficient: a comparison of methods
Autor(es)Ferreira, Marta Susana
Data2018
EditoraSpringer
CitaçãoFerreira M. (2018) Estimating the Extremal Coefficient: A Simulation Comparison of Methods. In: Oliveira T., Kitsos C., Oliveira A., Grilo L. (eds) Recent Studies on Risk Analysis and Statistical Modeling. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-76605-8_4
Resumo(s)Tail dependence is an important issue to evaluate risk. The multivariate extreme values theory is the most suitable to deal with the extremal dependence. The extremal coefficient measures the degree of dependence between the marginals of max-stable distributions, a natural class of models in this framework. The estimation of the extremal coefficient is addressed and a new estimator is compared through simulation with existing methods. An illustration with real data is presented.
TipoCapítulo de livro
URIhttps://hdl.handle.net/1822/51284
ISBN978-3-319-76604-1
e-ISBN978-3-319-76605-8
DOI10.1007/978-3-319-76605-8_4
Versão da editorahttps://link.springer.com/chapter/10.1007/978-3-319-76605-8_4
AcessoAcesso restrito UMinho
Aparece nas coleções:CMAT - Artigos em atas de conferências e capítulos de livros com arbitragem / Papers in proceedings of conferences and book chapters with peer review

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