Approximation rates for multivariate exceedances

DOI10.1016/0378-3758(94)00074-3zbMath0819.60025OpenAlexW2091226320WikidataQ127065476 ScholiaQ127065476MaRDI QIDQ1890882

Rolf-Dieter Reiss, Edgar Kaufmann

Publication date: 23 May 1995

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)00074-3

zbMATH Keywords

generalized Pareto distributionsPoisson approximationvariational distance\(d\)-variate exceedances

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (8)

Rates of convergence for bivariate extremes ⋮ Testing for a multivariate generalized Pareto distribution ⋮ Some notes on extremal discriminant analysis ⋮ Some notes on multivariate generalized Pareto distributions ⋮ Peaks-over-threshold stability of multivariate generalized Pareto distributions ⋮ Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models ⋮ Efficient estimators and LAN in canonical bivariate POT models. ⋮ A characterization of the rate of convergence in bivariate extreme value models

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• Residual life time at great age
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• Strong convergence of multivariate point processes of exceedances
• A course on point processes
• Asymptotic inference about a density function at an end of its range

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