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Intrinsic estimation of the dependence structure for bivariate extremes

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  • de Oliveira, J. Tiago

Abstract

A method is presented for estimating intrisically the dependence structure of bivariate minima with standard exponential margins (dependence function A(u) or, equivalently, of bivariate maxima with standard Gumbel margins (dependence function k(w)); intrinsic estimation means that the estimator function is an admissible dependence function.

Suggested Citation

  • de Oliveira, J. Tiago, 1989. "Intrinsic estimation of the dependence structure for bivariate extremes," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 213-218, August.
    • Handle: RePEc:eee:stapro:v:8:y:1989:i:3:p:213-218
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    Cited by:

    1. Falk, Michael & Reiss, Rolf-Dieter, 2005. "On the distribution of Pickands coordinates in bivariate EV and GP models," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 267-295, April.
    2. Zhang, Dabao & Wells, Martin T. & Peng, Liang, 2008. "Nonparametric estimation of the dependence function for a multivariate extreme value distribution," Journal of Multivariate Analysis, Elsevier, vol. 99(4), pages 577-588, April.
    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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