Efficient estimators and LAN in canonical bivariate POT models
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References listed on IDEAS
- E. Kaufmann & R. Reiss, 1993. "Strong convergence of multivariate point processes of exceedances," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(3), pages 433-444, September.
- Drees, Holger & Huang, Xin, 1998. "Best Attainable Rates of Convergence for Estimators of the Stable Tail Dependence Function," Journal of Multivariate Analysis, Elsevier, vol. 64(1), pages 25-47, January.
- Falk, Michael & Reiss, Rolf-Dieter, 2001. "Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 233-242, April.
- Lu, Jye-Chyi & Bhattacharyya, Gouri K., 1991. "Inference procedures for bivariate exponential model of Gumbel," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 37-50, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
KeywordsBivariate max-stable distribution Bivariate generalized Pareto distribution Dependence function Canonical parameterization Peaks-over-threshold stability BLUE LAN Hajek-LeCam convolution theorem Regular estimators;
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