2 problems
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Non-degenerate long-range-dependence limit for the tail dependence estimator
Let be a max-stable stationary time series with -Fréchet margins and pairwise extremal coefficients . Let …
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Long-range dependence conjecture for the limiting variance of the tail dependence ratio estimator
Let be a max-stable stationary time series with -Fréchet margins and pairwise extremal coefficients . Assume that…