Nonparametric estimation of the dependence function in bivariate extreme value distributions

DOI10.1006/jmva.2000.1931zbMath0998.62050MaRDI QIDQ5933442

Javier Rojo Jiménez, Enrique Villa-Diharce, Miguel Flores

Publication date: 16 May 2001

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

Full work available at URL: https://doi.org/10.1006/jmva.2000.1931

Mathematics Subject Classification ID

60G15: Gaussian processes

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62G30: Order statistics; empirical distribution functions

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60F15: Strong limit theorems

Related Items

Nonparametric estimation of multivariate extreme-value copulas, Nonparametric estimation of an extreme-value copula in arbitrary dimensions, A goodness-of-fit test for bivariate extreme-value copulas, New estimators of the Pickands dependence function and a test for extreme-value dependence, Rank-based inference for bivariate extreme-value copulas, Bivariate extreme-value copulas with discrete Pickands dependence measure, On Pickands coordinates in arbitrary dimensions, On the distribution of Pickands coordinates in bivariate EV and GP models, On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions, Non-parametric estimators of multivariate extreme dependence functions

Cites Work

• Parametric families of multivariate distributions with given margins
• Point processes and multivariate extreme values
• Asymptotically minimax estimators for distributions with increasing failure rate
• Intrinsic estimation of the dependence structure for bivariate extremes
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• Multivariate distributions with exponential minimums
• Uniform strong consistent estimation of an IFRA distribution function
• Intrinsic estimation of the dependence function in bivariate extremes: a new and simpler approach
• Statistics of Multivariate Extremes
• Bivariate extreme value theory: Models and estimation
• Limit theory for multivariate sample extremes
• Estimation of the Quantile Function of an IFRA Distribution
• Multivariate extreme‐value distributions with applications to environmental data
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Analysis of Empirical Bivariate Extremal Distributions
• Coherent Life Functions
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item