Estimating the spectral measure of an extreme value distribution
Let (X1, Y1), (X2, Y2),..., (Xn, Yn) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The extreme value indices determine both the marginals and the spectral measure determines the dependence structure. In this paper, we construct an empirical measure, based on the sample, which is a consistent estimator of the spectral measure. We also show for positive extreme value indices the asymptotic normality of the estimator under a suitable 2nd order strengthening of the bivariate domain of attraction condition.
Volume (Year): 70 (1997)
Issue (Month): 2 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description |
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Einmahl, J. H. J. & Dehaan, L. & Huang, X., 1993.
"Estimating a Multidimensional Extreme-Value Distribution,"
Journal of Multivariate Analysis,
Elsevier, vol. 47(1), pages 35-47, October.
- Einmahl, J.H.J. & de Haan, L. & Xin, H., 1993. "Estimating a multidimensional extreme-value distribution," Other publications TiSEM 2816eb0c-8f15-4111-94f5-6, School of Economics and Management.
- repec:ner:tilbur:urn:nbn:nl:ui:12-142070 is not listed on IDEAS
- repec:ner:tilbur:urn:nbn:nl:ui:12-125732 is not listed on IDEAS
- Einmahl, John H. J., 1997.
"Poisson and Gaussian approximation of weighted local empirical processes,"
Stochastic Processes and their Applications,
Elsevier, vol. 70(1), pages 31-58, October.
- Einmahl, J.H.J., 1997. "Poisson and Gaussian approximation of weighted local empirical processes," Other publications TiSEM 07d934b9-2bd4-474a-bf32-f, School of Economics and Management.
- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, School of Economics and Management.
- 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.
- repec:ner:tilbur:urn:nbn:nl:ui:12-125712 is not listed on IDEAS
- Deheuvels, Paul & Tiago de Oliveira, José, 1989. "On the non-parametric estimation of the bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 315-323, September.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:70:y:1997:i:2:p:143-171. 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: (Zhang, Lei)
If references are entirely missing, you can add them using this form.