IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

A characterization of the rate of convergence in bivariate extreme value models

Listed author(s):
  • Falk, Michael
  • Reiss, Rolf Dieter
Registered author(s):

    It is well known that the rate of convergence of the extremes in an iid sample of univariate random variables is determined by the distance of the underlying distribution from a generalized Pareto distribution. We extend this result to higher dimensions.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(02)00209-2
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

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

    Volume (Year): 59 (2002)
    Issue (Month): 4 (October)
    Pages: 341-351

    as
    in new window

    Handle: RePEc:eee:stapro:v:59:y:2002:i:4:p:341-351
    Contact details of provider: Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

    Order Information: Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
    Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

    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.:

    as
    in new window


    1. 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.
    2. 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.
    3. 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.
    4. Omey, E. & Rachev, S. T., 1991. "Rates of convergence in multivariate extreme value theory," Journal of Multivariate Analysis, Elsevier, vol. 38(1), pages 36-50, July.
    5. de Haan, L. & Peng, L., 1997. "Rates of Convergence for Bivariate Extremes," Journal of Multivariate Analysis, Elsevier, vol. 61(2), pages 195-230, May.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:59:y:2002:i:4:p:341-351. 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)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.