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 normality; best linear unbiased estimator; BLUE; dependence parameters; generalized Pareto distributions

Mathematics Subject Classification ID

62F10: Point estimation

62G32: Statistics of extreme values; tail inference

Related Items

Likelihood estimators for multivariate extremes, Strong approximations of level exceedences related to multiple hypothesis testing, Multivariate generalized Pareto distributions, 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

Cites Work

• 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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