[DPM13] Estimating Bivariate Tail: a copula based approach

Revue Internationale avec comité de lecture : Journal Journal of Multivariate Analysis, vol. 119 , pp. 81–100, 2013, (doi:

Mots clés: Extreme value theory; Peaks-over-threshold method; Pickands–Balkema–de Haan Theorem; Tail dependence

Résumé: This paper deals with the problem of estimating the tail of a bivariate distribution function. To this end we develop a general extension of the POT (peaks-over-threshold) method, mainly based on a two-dimensional version of the Pickands–Balkema–de Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence, and we provide a way to estimate it. We construct a two-dimensional tail estimator and study its asymptotic properties. We also present real data examples which illustrate our theoretical results.

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Equipe: msdma


@article {
title="{Estimating Bivariate Tail: a copula based approach}",
author="E. Di Bernardino and C. Prieur and V. Maume-Deschamps",
journal="Journal of Multivariate Analysis",
volume= 119 ,