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Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients.

Pavel KrupskiiHarry Joe
Published in: J. Multivar. Anal. (2019)
Keyphrases
  • nonparametric estimation
  • heavy tailed
  • probability distribution
  • power law
  • dependence structure
  • extreme value theory
  • regression model
  • belief networks
  • denoising
  • graphical models
  • conditional probabilities