Multivariate extreme value copulas with factor and tree dependence structures
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DOI: 10.1007/s10687-017-0298-0
Abstract: Parsimonious extreme value copula models with O(d) parameters for d observed variables of extrema are presented. These models utilize the dependence characteristics, including factor and tree structures, assumed on the underlying variables that give rise… read more here.
Keywords: factor tree; dependence; extreme value; multivariate extreme ... See more keywords