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On tail index estimation based on multivariate data

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https://hal.telecom-paris.fr/hal-02107496
Contributor : Stephan Clémençon <>
Submitted on : Tuesday, April 23, 2019 - 4:38:33 PM
Last modification on : Wednesday, September 30, 2020 - 8:54:13 AM

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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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