Bivariate tail estimation: dependence in asymptotic independence

DOI10.3150/bj/1082380219zbMath1058.62043MaRDI QIDQ1769776

Xianqiang Yang

Publication date: 30 March 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1082380219

zbMATH Keywords

copula; asymptotic normality; coefficient of tail dependence; moment estimator; Hill estimator; failure probability; bivariate extreme value distribution; sea state variables

Mathematics Subject Classification ID

62P12: Applications of statistics to environmental and related topics

62G32: Statistics of extreme values; tail inference

62N02: Estimation in survival analysis and censored data

Related Items

A Conditional Approach for Multivariate Extreme Values (with Discussion), Hidden regular variation and the rank transform, Bivariate tail estimation: dependence in asymptotic independence, Some comments on the estimation of a dependence index in bivariate extreme value statistics., Estimating the tail-dependence coefficient: properties and pitfalls

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