Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models

DOI10.1016/S0167-7152(00)00194-2zbMath0981.62018MaRDI QIDQ5937045

Michael Falk, Rolf-Dieter Reiss

Publication date: 26 March 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalitybest linear unbiased estimatorBLUEdependence parametersgeneralized Pareto distributions

Mathematics Subject Classification ID

Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

Related Items (6)

Multivariate generalized Pareto distributions ⋮ Strong approximations of level exceedences related to multiple hypothesis testing ⋮ On Pickands coordinates in arbitrary dimensions ⋮ Efficient estimators and LAN in canonical bivariate POT models. ⋮ A characterization of the rate of convergence in bivariate extreme value models ⋮ Likelihood estimators for multivariate extremes

Cites Work

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• Strong convergence of multivariate point processes of exceedances
• Maxima of normal random vectors: Between independence and complete dependence
• Approximation rates for multivariate exceedances
• Multivariate extreme‐value distributions with applications to environmental data
• A generalized bivariate exponential distribution

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