Estimation of the conditional distribution of a multivariate variable given that one of its component is large: Additional constraints for the Heffernan and Tawn model

Caroline Keef; I Papastathopoulos; JA Tawn

doi:10.1016/j.jmva.2012.10.012

Estimation of the conditional distribution of a multivariate variable given that one of its component is large: Additional constraints for the Heffernan and Tawn model

Caroline Keef, I Papastathopoulos, JA Tawn

School of Mathematics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

90 Citations (Scopus)

Original language	English
Pages (from-to)	396-404
Number of pages	9
Journal	Journal of Multivariate Analysis
Volume	115
Early online date	20 Nov 2012
DOIs	https://doi.org/10.1016/j.jmva.2012.10.012
Publication status	Published - Mar 2013

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10.1016/j.jmva.2012.10.012

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Cite this

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title = "Estimation of the conditional distribution of a multivariate variable given that one of its component is large: Additional constraints for the Heffernan and Tawn model",

author = "Caroline Keef and I Papastathopoulos and JA Tawn",

year = "2013",

month = mar,

doi = "10.1016/j.jmva.2012.10.012",

language = "English",

volume = "115",

pages = "396--404",

journal = "Journal of Multivariate Analysis",

issn = "0047-259X",

publisher = "Academic Press Inc.",

}

Estimation of the conditional distribution of a multivariate variable given that one of its component is large: Additional constraints for the Heffernan and Tawn model. / Keef, Caroline; Papastathopoulos, I; Tawn, JA.
In: Journal of Multivariate Analysis, Vol. 115, 03.2013, p. 396-404.

Research output: Contribution to journal › Article (Academic Journal) › peer-review

TY - JOUR

T1 - Estimation of the conditional distribution of a multivariate variable given that one of its component is large: Additional constraints for the Heffernan and Tawn model

AU - Keef, Caroline

AU - Papastathopoulos, I

AU - Tawn, JA

PY - 2013/3

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DO - 10.1016/j.jmva.2012.10.012

M3 - Article (Academic Journal)

SN - 0047-259X

VL - 115

SP - 396

EP - 404

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

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