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Showing 1 to 1 of 1 for “"bivariate extreme value theory"”.
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Copulae and tail dependence
… context as one tool to measure dependence in the extremes of a bivariate distribution. Copulae can separate the problem of estimating a multidimensional distribution into the estimation of the marginal distributions and the dependence between the onedimensional random variables. Therefore, copulae …