Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions
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References listed on IDEAS
- Deheuvels, Paul, 1991. "On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 429-439, November.
- Rojo, J. & Samaniego, F. J., 1994. "Uniform Strong Consistent Estimation of an Ifra Distribution Function," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 150-163, April.
- Deheuvels, Paul, 1983. "Point processes and multivariate extreme values," Journal of Multivariate Analysis, Elsevier, vol. 13(2), pages 257-272, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 37-47, January.
- Bernhart German & Scherer Matthias & Mai Jan-Frederik, 2015. "On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions," Dependence Modeling, Sciendo, vol. 3(1), pages 1-18, May.
- Falk, Michael & Reiss, Rolf-Dieter, 2005. "On Pickands coordinates in arbitrary dimensions," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 426-453, February.
- 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.
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Keywordsempirical distribution function; greatest convex minorant; weak convergence; Gaussian process;
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