A characterization of the rate of convergence in bivariate extreme value models
type: Item
instance of: scholarly article
title: A characterization of the rate of convergence in bivariate extreme value models
zbMATH Open document ID: 1017.62046
DOI: 10.1016/S0167-7152(02)00209-2
author: Michael Falk
author: Rolf-Dieter Reiss
published in: Statistics \& Probability Letters
publication date: 2003-05-07T00:00:00Z
review text: Let \(G\) be a bivariate max-stable distribution function with reversed exponential margins. Define the bivariate generalized Pareto distribution correspondipg to \(G\) by \[ W(x,y)= 1+\log\bigl( G(x,y)\bigr),\quad \log\bigl( G(x,y)\bigr)\geq -1. \] The authors show that the rate of convergence of extremes in an iid sample of bivariate random vectors is determined by the distance of the underlying distribution from a bivariate generalized Pareto distribution.
reviewed by: Wiesław Dziubdziela
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 60G70
zbMATH DE Number: 1906967
zbMATH Keywords: delta-neighborhood
zbMATH Keywords: rate of convergence
MaRDI profile type: Publication
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full work available at URL: s0167-7152(02)00209-2
OpenAlex ID: W1987605925
description: scientific article; zbMATH DE number 1906967