Estimation of a bivariate extreme value distribution
type: Item
instance of: scholarly article
title: Estimation of a bivariate extreme value distribution
zbMATH Open document ID: 1008.62053
DOI: 10.1023/A:1012241624430
author: Philippe Capéraà
author: Anne-Laure Fougeres
published in: Extremes
publication date: 2002-11-21T00:00:00Z
review text: For a bivariate r.v. \((Z_1,Z_2)\) with unit Fréchet margins a dependence function \(A^*\) (if it exists) is defined by \[ \Pr\{Z_1<z_1,Z_2<z_2)=\exp\left(-(z_1^{-1}+z_2^{-1})A^*(z_2(z_1+z_2)^{-1}\right). \] It also can be defined in terms of a spectral measure. The authors introduce a new nonparametric estimator for \(A^*\) by i.i.d. samples, demonstrate its consistency and compare it with some other estimators via simulation studies.
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 1833851
zbMATH Keywords: Archimax copulas
zbMATH Keywords: bivariate threshold methods
zbMATH Keywords: dependence functions
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1833851