no code implementations • 7 Aug 2020 • Michaël Lalancette, Sebastian Engelke, Stanislav Volgushev
Existing work mostly focuses on asymptotic dependence, where the probability of observing a large value in one of the variables is of the same order as observing a large value in all variables simultaneously.
Statistics Theory Methodology Statistics Theory 62G32 (Primary) 62F12, 62G20, 62G30 (Secondary)
