The properties of a new estimator for the coefficient of tail dependence in two dimensional extreme-value

被引：0
|
作者：
Wu, SL [1 ]
Wu, DZ [1 ]
机构：
[1] Logist Engn Univ, Dept Fdn, Chongqing 400016, Peoples R China
来源：
WAVELET ANALYSIS AND ACTIVE MEDIA TECHNOLOGY VOLS 1-3 | 2005年
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A new estimator for the coefficient of tail dependence is proposed in two-dimensional extreme values. According to studies for a process related to empirical distribution, we prove the weak consistency under the condition of regularly varying and the asymptotically normal under the condition of second order regularly varying.
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页码：990 / 995
页数：6
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