Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition

Jeffrey Näf, Marc S. Paolella, Pawel Polak. Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition. J. Multivariate Analysis, 172:84-106, 2019. [doi]

Authors

Jeffrey Näf

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Marc S. Paolella

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Pawel Polak

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