Approximation rates for multivariate exceedances

DOI10.1016/0378-3758(94)00074-3MaRDI QIDQ1890882zbMATH OpenOpenAlexWikidataFDO

Authors Edgar Kaufmann, Rolf-Dieter Reiss

Publication date 23 May 1995

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(94)00074-3

zbMATH Keywords

Poisson approximationvariational distancegeneralized Pareto distributions\(d\)-variate exceedances

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 4153605 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 107937 (Why is no real title available?)
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• A course on point processes
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Asymptotic inference about a density function at an end of its range
• Poisson approximation of empirical processes
• Rates of convergence in multivariate extreme value theory
• Residual life time at great age
• Statistical inference using extreme order statistics
• Strong convergence of multivariate point processes of exceedances
• Von Mises conditions revisited

Cited in

(14)

• Peaks-over-threshold stability of multivariate generalized Pareto distributions
• Rates of multivariate normal approximation for statistics in geometric probability
• Some notes on multivariate generalized Pareto distributions
• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• Testing for a multivariate generalized Pareto distribution
• Efficient estimators and LAN in canonical bivariate POT models.
• A characterization of the rate of convergence in bivariate extreme value models
• Poisson approximation of empirical processes
• Rates of convergence for bivariate extremes
• A note on the analytic approximation of exceedance probabilities in heterogeneous populations
• Some notes on extremal discriminant analysis
• Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences
• scientific article; zbMATH DE number 107937 (Why is no real title available?)
• On exceedances of high levels

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