On the distribution of Pickands coordinates in bivariate EV and GP models

DOI10.1016/j.jmva.2004.02.017zbMath1071.60036OpenAlexW2077766268MaRDI QIDQ1776871

Rolf-Dieter Reiss, Michael Falk

Publication date: 12 May 2005

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2004.02.017

zbMATH Keywords

dependence functionlocal asymptotic normality (LAN)bivariate generalized Pareto distributionPickands representationHájek-LeCam convolution theoremMax-stable distributionPeaks-over-threshold approach (POT)

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Characteristic functions; other transforms (60E10)

Related Items

Multivariate generalized Pareto distributions, Estimating a bivariate tail: a copula based approach, On Pickands coordinates in arbitrary dimensions, Expansions of multivariate Pickands densities and testing the tail dependence, Likelihood estimators for multivariate extremes

Uses Software

• ismev

Cites Work

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