5 citations · 6 across the 12 of their papers we have counts for
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stat.ME2017
An estimator of the stable tail dependence function based on the empirical beta copula
Anna Kiriliouk, Johan Segers, Laleh Tafakori
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the l…
stat.ME2017
Hypothesis testing for tail dependence parameters on the boundary of the parameter space
Anna Kiriliouk
Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which…