A characterization of the rate of convergence in bivariate extreme value models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- 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.
- 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.
- 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.
- de Haan, L. & Peng, L., 1997. "Rates of Convergence for Bivariate Extremes," Journal of Multivariate Analysis, Elsevier, vol. 61(2), pages 195-230, May.
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 Pickands representation Spectral decomposition Generalized Pareto distribution [delta]-neighborhood von Mises condition;
StatisticsAccess and download statistics
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: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). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .