Bivariate extension of the Pickands-Balkema-de Haan theorem.

DOI10.1016/j.anihpb.2003.03.002zbMath1043.62048MaRDI QIDQ1426654

Mario V. Wüthrich

Publication date: 15 March 2004

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2004__40_1_33_0

zbMATH Keywords

extreme value theory; Archimedean copula; dependent random variables; Pickands-Balkema-de Haan theorem

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

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