IDEAS home Printed from
   My bibliography  Save this article

Local asymptotic normality in a stationary model for spatial extremes


  • Falk, Michael


De Haan and Pereira (2006) [6] provided models for spatial extremes in the case of stationarity, which depend on just one parameter [beta]>0 measuring tail dependence, and they proposed different estimators for this parameter. We supplement this framework by establishing local asymptotic normality (LAN) of a corresponding point process of exceedances above a high multivariate threshold. Standard arguments from LAN theory then provide the asymptotic minimum variance within the class of regular estimators of [beta]. It turns out that the relative frequency of exceedances is a regular estimator sequence with asymptotic minimum variance, if the underlying observations follow a multivariate extreme value distribution or a multivariate generalized Pareto distribution.

Suggested Citation

  • Falk, Michael, 2011. "Local asymptotic normality in a stationary model for spatial extremes," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 48-60, January.
  • Handle: RePEc:eee:jmvana:v:102:y:2011:i:1:p:48-60

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Deheuvels, Paul, 1983. "Point processes and multivariate extreme values," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 257-272, June.
    Full references (including those not matched with items on IDEAS)


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:102:y:2011:i:1:p:48-60. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.