On the distribution of Pickands coordinates in bivariate EV and GP models
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References listed on IDEAS
- Falk, Michael & Reiss, Rolf-Dieter, 2003. "Efficient estimators and LAN in canonical bivariate POT models," Journal of Multivariate Analysis, Elsevier, vol. 84(1), pages 190-207, January.
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"Estimating the spectral measure of an extreme value distribution,"
Stochastic Processes and their Applications, Elsevier, vol. 70(2), pages 143-171, October.
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Cited by:
- Frick, Melanie & Reiss, Rolf-Dieter, 2009. "Expansions of multivariate Pickands densities and testing the tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1168-1181, July.
- Di Bernardino, Elena & Maume-Deschamps, Véronique & Prieur, Clémentine, 2013. "Estimating a bivariate tail: A copula based approach," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 81-100.
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More about this item
Keywords
Pickands coordinates Max-stable distribution Bivariate generalized Pareto distribution Pickands representation Dependence function Peaks-over-threshold approach (POT) Local asymptotic normality (LAN) Hajek-LeCam convolution theorem;Statistics
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