Efficient estimators and LAN in canonical bivariate POT models
AbstractBivariate generalized Pareto distributions (GPs) with uniform margins are introduced and elementary properties such as peaks-over-threshold (POT) stability are discussed. A unified parameterization with parameter [theta][set membership, variant][0,1] of the GPs is provided by their canonical parameterization. We derive efficient estimators of [theta] and of the dependence function of the GP in various models and establish local asymptotic normality (LAN) of the loglikelihood function of a 2x2 table sorting of the observations. From this result we can deduce that the estimator of [theta] suggested by Falk and Reiss (2001, Statist. Probab. Lett. 52, 233-242) is not efficient, whereas a modification actually is.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 84 (2003)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- 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.
- 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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