Efficient estimation of the canonical dependence function

DOI10.1023/A:1026229314063zbMath1053.62062MaRDI QIDQ1887259

Michael Falk, Rolf-Dieter Reiss

Publication date: 24 November 2004

Published in: Extremes (Search for Journal in Brave)

zbMATH Keywords

bivariate extreme value distributionlocal asymptotic normality (LAN)Pickands representation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (6)

Multivariate generalized Pareto distributions ⋮ On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix ⋮ On the distribution of Pickands coordinates in bivariate EV and GP models ⋮ Non-parametric Estimation of Tail Dependence ⋮ Estimating the tail-dependence coefficient: properties and pitfalls ⋮ Likelihood estimators for multivariate extremes

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