On tail index estimation based on multivariate data

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https://hal.telecom-paristech.fr/hal-02107496
Contributor : Stephan Clémençon <>
Submitted on : Tuesday, April 23, 2019 - 4:38:33 PM
Last modification on : Thursday, October 17, 2019 - 12:36:55 PM

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A. Dematteo, Stéphan Clémençon. On tail index estimation based on multivariate data. Journal of Nonparametric Statistics, American Statistical Association, 2015, 28 (1), pp.152-176. ⟨10.1080/10485252.2015.1124105⟩. ⟨hal-02107496⟩

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