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On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions

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Author Info
Deheuvels, Paul
Abstract

We establish the functional central limit theorem and law of the iterated logarithm for the Pickands estimator of the dependence function of a bivariate extreme-value distribution. Our methods are based on general results for sums of random variables taking values in Banach spaces.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 12 (1991)
Issue (Month): 5 (November)
Pages: 429-439
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Handle: RePEc:eee:stapro:v:12:y:1991:i:5:p:429-439

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Keywords: Extreme values bivariate distributions non-parametric statistics functional laws of the iterated logarithm;

Cited by:
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  1. Segers, J.J.J., 2004. "Non-parametric inference for bivariate extreme-value copulas," Discussion Paper 91, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Fils-Villetard, Amelie & Guillou, Armelle & Segers, Johan, 2005. "Projection estimates of constrained functional parameters," Discussion Paper 111, Tilburg University, Center for Economic Research. [Downloadable!]
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