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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Haug, S., Klüppelberg, C., and Kuhn, G. 
Titel:
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 Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Statistics and Its Interface 
Jahr:
2015 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
93-107 
Sprache:
en 
Status:
Postprint / reviewed 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik