Now showing items 1-2 of 2

  • Multivariate tail measure and the estimation of CoVar 

    Nguyen, Tilo; Samorodnitsky, Gennady (2012-10-09)
    The quality of estimation of multivariate tails depends significantly on the portion of the sample included in the estimation. A simple approach involving sequential statistical testing is proposed in order to select ...
  • Tail Inference: where does the tail begin? 

    Nguyen, Tilo; Samorodnitsky, Gennady (2011-03-31)
    The quality of estimation of tail parameters, such as tail index in the univariate case, or the spectral measure in the multivariate case, depends crucially on the part of the sample included in the estimation. A ...