Efficient estimation of the canonical dependence function

DOI10.1023/A:1026229314063zbMATH Open1053.62062MaRDI QIDQ1887259FDOQ1887259

Authors: Michael Falk, Rolf-Dieter Reiss 

Publication date: 24 November 2004

Published in: Extremes (Search for Journal in Brave)

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zbMATH Keywords

local asymptotic normality (LAN)bivariate extreme value distributionPickands representation

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cited In (11)

• 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
• Efficient estimators and LAN in canonical bivariate POT models.
• Canonical spectral representation for exchangeable max-stable sequences
• Estimating the tail-dependence coefficient: properties and pitfalls
• Likelihood estimators for multivariate extremes
• Canonical dependency analysis based on squared-loss mutual information
• Modification of Pickands' dependence function for ordered bivariate extreme distribution
• Non-parametric Estimation of Tail Dependence
• On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix

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