Efficient estimators and LAN in canonical bivariate POT models.

DOI10.1016/S0047-259X(02)00010-6zbMATH Open1041.62042MaRDI QIDQ1867201FDOQ1867201

Authors: Michael Falk, Rolf-Dieter Reiss 

Publication date: 2 April 2003

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

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zbMATH Keywords

BLUELANBivariate generalized Pareto distributionBivariate max-stable distributionCanonical parameterizationDependence functionHajek-LeCam convolution theoremPeaks-over-threshold stabilityRegular estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

Cites Work

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• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
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• A course on point processes
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• Strong convergence of multivariate point processes of exceedances
• Approximation rates for multivariate exceedances
• Inference procedures for bivariate exponential model of Gumbel

Cited In (6)

• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• Multivariate generalized Pareto distributions
• On the distribution of Pickands coordinates in bivariate EV and GP models
• A characterization of the rate of convergence in bivariate extreme value models
• On Pickands coordinates in arbitrary dimensions
• Likelihood estimators for multivariate extremes

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