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Maximum likelihood estimation of elliptical tail. (2025). Lee, Sangyeol ; Kim, Moosup.
In: Journal of Multivariate Analysis.
RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000897.

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  1. Maximum likelihood estimation of elliptical tail. (2025). Lee, Sangyeol ; Kim, Moosup.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:205:y:2025:i:c:s0047259x24000897.

    Full description at Econpapers || Download paper

  2. Asymptotics for credit portfolio losses due to defaults in a multi-sector model. (2024). Zhang, Zhimin ; Yang, Yang ; Chen, Shaoying.
    In: Annals of Operations Research.
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  3. On extreme quantile region estimation under heavy-tailed elliptical distributions. (2024). Ilmonen, Pauliina ; Viitasaari, Lauri ; Pere, Jaakko.
    In: Journal of Multivariate Analysis.
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  4. Latent model extreme value index estimation. (2024). Ilmonen, Pauliina ; Lietzen, Niko ; Viitasaari, Lauri ; Virta, Joni.
    In: Journal of Multivariate Analysis.
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  6. Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Einmahl, John ; Krajina, Andrea.
    In: Other publications TiSEM.
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  7. Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Einmahl, John ; Krajina, Andrea.
    In: Discussion Paper.
    RePEc:tiu:tiucen:261583f5-c571-48c6-8cea-945ba6542026.

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  8. Modelling multivariate extreme value distributions via Markov trees. (2022). Peng, Zuoxiang ; Hu, Shuang ; Segers, Johan.
    In: LIDAM Discussion Papers ISBA.
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  9. Flexible covariate representations for extremes. (2020). Jonathan, P ; Jones, M J ; Zanini, E ; Eastoe, E ; Randell, D.
    In: Environmetrics.
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  10. Cube Root Weak Convergence of Empirical Estimators of a Density Level Set. (2020). Einmahl, John ; Berthet, Philippe.
    In: Other publications TiSEM.
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  11. Cube Root Weak Convergence of Empirical Estimators of a Density Level Set. (2020). Einmahl, John ; Berthet, Philippe.
    In: Discussion Paper.
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  12. Bayesian Inference with M-splines on Spectral Measure of Bivariate Extremes. (2019). Ribereau, Pierre ; Khadraoui, Khader.
    In: Methodology and Computing in Applied Probability.
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  13. Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien.
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  14. Testing the Multivariate Regular Variation Model. (2018). Zhou, Chen ; Einmahl, John ; Yang, Fan.
    In: Other publications TiSEM.
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  15. Testing the Multivariate Regular Variation Model. (2018). Zhou, Chen ; Einmahl, John ; Yang, Fan.
    In: Discussion Paper.
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  16. Bernstein polynomial angular densities of multivariate extreme value distributions. (2017). de Carvalho, Miguel ; Chen, Yuhui ; Hanson, Timothy E.
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  17. Extremal attractors of Liouville copulas. (2017). Belzile, Leo R ; Nelehova, Johanna G.
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  18. Estimation of extreme depth-based quantile regions. (2017). Einmahl, John ; He, YI.
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  19. Multivariate Hill Estimators. (2017). Dominicy, Yves ; Ilmonen, Pauliina ; Veredas, David.
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  20. A mean-constrained finite mixture of normals model. (2016). Hanson, Timothy E ; Bao, Junshu.
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  21. Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics. (2015). Einmahl, John ; Liu, Regina ; Einmahl, J. H. J., .
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  22. Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics. (2015). Einmahl, John ; Liu, Regina ; Einmahl, J. H. J., .
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  23. Semi-parametric modeling of excesses above high multivariate thresholds with censored data. (2015). Sabourin, Anne.
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  24. Bayesian threshold selection for extremal models using measures of surprise. (2015). Fan, Y. ; Sisson, S. A. ; Lee, J..
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  25. Estimation of Extreme Depth-Based Quantile Regions. (2014). Einmahl, John ; He, Y ; Einmahl, J. H. J., .
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  26. Estimation of Extreme Depth-Based Quantile Regions. (2014). He, Yi ; Einmahl, John ; Einmahl, J. H. J., .
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  32. An M-Estimator for Tail Dependence in Arbitrary Dimensions. (2011). Krajina, Andrea ; Einmahl, John ; Segers, J. ; Einmahl, J. H. J., .
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  33. Multivariate extreme models based on underlying skew-t and skew-normal distributions. (2011). Padoan, Simone A..
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  34. The pairwise beta distribution: A flexible parametric multivariate model for extremes. (2010). Davis, Richard A. ; Naveau, Philippe ; Cooley, Daniel.
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