Efficient estimators and LAN in canonical bivariate POT models.

DOI10.1016/S0047-259X(02)00010-6MaRDI QIDQ1867201zbMATH OpenFDO

Authors Michael Falk, Rolf-Dieter Reiss

Publication date 2 April 2003

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

Full work available at URL https://doi.org/10.1016/S0047-259X(02)00010-6

zbMATH Keywords

Bivariate generalized Pareto distributionBivariate max-stable distributionBLUECanonical parameterizationDependence functionHajek-LeCam convolution theoremLANPeaks-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)

Recommendations

• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• Efficient estimation of the canonical dependence function
• Local asymptotic normality in of standard generalized Pareto processes
• Bivariate extreme value theory: Models and estimation
• Bivariate tail estimation: dependence in asymptotic independence

Cites work

• A course on point processes
• A Multivariate Exponential Distribution
• Approximation rates for multivariate exceedances
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Bivariate Exponential Distributions
• Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
• scientific article; zbMATH DE number 1667428 (Why is no real title available?)
• scientific article; zbMATH DE number 3820920 (Why is no real title available?)
• scientific article; zbMATH DE number 3755661 (Why is no real title available?)
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• scientific article; zbMATH DE number 409721 (Why is no real title available?)
• scientific article; zbMATH DE number 729453 (Why is no real title available?)
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Inference procedures for bivariate exponential model of Gumbel
• Maxima of normal random vectors: Between independence and complete dependence
• Relative efficiency and deficiency of kernel type estimators of smooth distribution functions
• Strong convergence of multivariate point processes of exceedances

Cited in

(6)

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

This page was built for publication: Efficient estimators and LAN in canonical bivariate POT models.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1867201)