Effects of mis-specification in bivariate extreme value problems (Q1409826): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1023/a:1016540012032 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1597491001 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 08:46, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effects of mis-specification in bivariate extreme value problems |
scientific article |
Statements
Effects of mis-specification in bivariate extreme value problems (English)
0 references
22 October 2003
0 references
A bivariate CDF of \((X,Y)\) is expressed in the copula form \(F(x,y)=C(F_X(x),F_Y(y))\), where \(F_X\) and \(F_Y\) are marginal CDFs which are supposed to be generalized extreme value distributions. The authors examine the effect of misspecification of the function \(C\) (copula) on the estimates of \(F_X\), \(F_Y\) and quantiles.
0 references
asymptotic independence
0 references
bivariate extreme value distribution
0 references
conditional distribution
0 references
generalized extreme value distribution
0 references
