Efficient estimators and LAN in canonical bivariate POT models.

DOI10.1016/S0047-259X(02)00010-6zbMath1041.62042MaRDI QIDQ1867201

Rolf-Dieter Reiss, Michael Falk

Publication date: 2 April 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

BLUELANBivariate generalized Pareto distributionBivariate max-stable distributionCanonical parameterizationDependence functionHajek-LeCam convolution theoremPeaks-over-threshold stabilityRegular estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Statistics of extreme values; tail inference (62G32)

Related Items

Multivariate generalized Pareto distributions, On Pickands coordinates in arbitrary dimensions, On the distribution of Pickands coordinates in bivariate EV and GP models, A characterization of the rate of convergence in bivariate extreme value models, Likelihood estimators for multivariate extremes

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