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An M-Estimator for Tail Dependence in Arbitrary Dimensions

open access: yes
Consider a random sample in the max-domain of attraction of a multivariate extreme value distribution such that the dependence structure of the attractor belongs to a parametric model.
Krajina, A., Segers, J., Einmahl, J.H.J.
core  

Multivariate Student -t Regression Models: Pitfalls and Inference

open access: yes
We consider likelihood-based inference from multivariate regression models with independent Student-t errors. Some very intruiging pitfalls of both Bayesian and classical methods on the basis of point observations are uncovered. Bayesian inference may be
Steel, M.F.J., Fernández, C.
core  

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