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

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  • Falk, Michael
  • Reiss, Rolf-Dieter

Abstract

This paper deals with the estimation of dependence parameters in certain bivariate generalized Pareto models which are models for exceedances (peaks) over high thresholds. A unified approach is obtained by using canonical parameters. An estimator, which is related to a best linear unbiased estimator, turns out to be inefficient compared to a nonlinear one.

Suggested Citation

  • Falk, Michael & Reiss, Rolf-Dieter, 2001. "Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 233-242, April.
    • Handle: RePEc:eee:stapro:v:52:y:2001:i:3:p:233-242
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    References listed on IDEAS

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    1. E. Kaufmann & R. Reiss, 1993. "Strong convergence of multivariate point processes of exceedances," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 433-444, September.
    2. Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
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    Cited by:

    1. Falk, Michael & Reiss, Rolf Dieter, 2002. "A characterization of the rate of convergence in bivariate extreme value models," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 341-351, October.
    2. 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.
    3. Falk, Michael & Reiss, Rolf-Dieter, 2005. "On Pickands coordinates in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 426-453, February.

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