TY - JOUR
T1 - Estimation of the coefficient of tail dependence in bivariate extremes
AU - Peng, L.
PY - 1999/7/15
Y1 - 1999/7/15
N2 - In this paper we shall give an alternative derivation of the coefficient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169-187] and propose a consistent estimator, which is asymptotically normal.
AB - In this paper we shall give an alternative derivation of the coefficient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169-187] and propose a consistent estimator, which is asymptotically normal.
KW - Bivariate extremes
KW - Coefficient of tail dependence
KW - Extreme value theory
KW - Regular variation
UR - https://www.scopus.com/pages/publications/0033565125
U2 - 10.1016/s0167-7152(98)00280-6
DO - 10.1016/s0167-7152(98)00280-6
M3 - Article
SN - 0167-7152
VL - 43
SP - 399
EP - 409
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 4
ER -