Copula Modeling for Extremes
Christian Genest, Johanna Nešlehová,
Johanna Nešlehová
Search for more papers by this authorChristian Genest, Johanna Nešlehová,
Johanna Nešlehová
Search for more papers by this authorAbstract
This article introduces extreme-value copulas, reviews models from this class, and describes their main properties. The associated rank-based estimation procedures and model validation techniques are also presented.
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