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Document type:
Zeitschriftenaufsatz 
Author(s):
Haug, S., Klüppelberg, C., and Kuhn, G. 
Title:
Copula structure analysis based on extreme dependence 
Abstract:
We introduce a technique to analyse the dependence structure of an elliptical copula with focus on extreme observations. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of an the elliptical copula in the high risk observations. More precisely, we describe the extreme dependence structure by an elliptical copula, which preserves a ’correlation-like’ structure in the extremes.Based on the tail dependence function we estimate t...    »
 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Statistics and Its Interface 
Year:
2015 
Journal volume:
Journal issue:
Pages contribution:
93-107 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Mathematische Statistik