Effects of mis-specification in bivariate extreme value problems (Q1409826): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effects of mis-specification in bivariate extreme value problems |
scientific article |
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Effects of mis-specification in bivariate extreme value problems (English)
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22 October 2003
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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.
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asymptotic independence
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bivariate extreme value distribution
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conditional distribution
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generalized extreme value distribution
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