3 citations · 3 across the 2 of their papers we have counts for
4 papers
Inference for heavy-tailed data with Gaussian dependence
Bikramjit Das
We consider a model for multivariate data with heavy-tailed marginal distributions and a Gaussian dependence structure. The different marginals in the model are allowed to have non…
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation
Bikramjit Das, Vicky Fasen-Hartmann
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-taile…
Detecting tail behavior: mean excess plots with confidence bounds
Bikramjit Das, Souvik Ghosh
In many practical situations exploratory plots are helpful in understanding tail behavior of sample data. The Mean Excess plot is often applied in practice to understand the right…
Generation and Detection of Multivariate Regular Variation and Hidden Regular Variation
Bikramjit Das, Sidney Resnick
We review definitions of multivariate regular variation (MRV) and hidden regular variation (HRV) for distributions of random vectors and then summarize methods for generating model…