Best attainable rates of convergence for estimators of the stable tail dependence function

DOI10.1006/jmva.1997.1708zbMath0953.62046OpenAlexW1987751847MaRDI QIDQ1383910

Publication date: 29 January 2001

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1997.1708

zbMATH Keywords

rate of convergence asymptotic normality domain of attraction bivariate extreme value distribution stable tail dependence function tail empirical dependence function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

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