Efficient estimation of the canonical dependence function

DOI10.1023/A:1026229314063MaRDI QIDQ1887259zbMATH OpenFDO

Authors Michael Falk, Rolf-Dieter Reiss

Publication date 24 November 2004

Published in Extremes (Search for Journal in Brave)

zbMATH Keywords

local asymptotic normality (LAN)bivariate extreme value distributionPickands representation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(11)

• Multivariate generalized Pareto distributions
• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• On the distribution of Pickands coordinates in bivariate EV and GP models
• Efficient estimators and LAN in canonical bivariate POT models.
• Canonical spectral representation for exchangeable max-stable sequences
• Estimating the tail-dependence coefficient: properties and pitfalls
• Likelihood estimators for multivariate extremes
• Canonical dependency analysis based on squared-loss mutual information
• Modification of Pickands' dependence function for ordered bivariate extreme distribution
• Non-parametric Estimation of Tail Dependence
• On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

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