6 citations · 6 across the 5 of their papers we have counts for
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stat.ME2026
Directional Dependence of Extreme Events
Matthieu Garcin, Maxime L. D. Nicolas
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail d…
stat.ME2021
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
Matthieu Garcin, Maxime L. D. Nicolas
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank del…