Bivariate Extreme Statistics, II

de Carvalho M.; Ramos A.

Keywords: maximum, order statistics, Asymptotic independence, Coefficient of tail dependence, Conditional tail modeling, Extremal dependence, Hidden regular variation, Joint tail modeling, Multivariate extremes, Sums.

Abstract

We review the current state of statistical modeling of asymptotically independent data. Our discussion includes necessary and sufficient conditions for asymptotic independence, results on the asymptotic independence of statistics of interest, estimation and inference issues, joint tail modeling, and conditional approaches. For each of these topics we give an account of existing approaches and relevant methods for data analysis and applications.

Más información

Título de la Revista: REVSTAT-STATISTICAL JOURNAL
Volumen: 10
Editorial: INST NACIONAL ESTATISTICA-INE
Fecha de publicación: 2012
Página de inicio: 81
Página final: 104
DOI:

WOS:000306193300004