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[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:http://dx.doi.org/10.1016/j.jmva.2013.03.020)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.
Commentaires:
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Equipe:
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BibTeX
| @article { | |||
| DPM13, | |||
| title | = | "{Estimating Bivariate Tail: a copula based approach}", | |
| author | = | "E. Di Bernardino and C. Prieur and V. Maume-Deschamps", | |
| journal | = | "Journal of Multivariate Analysis", | |
| year | = | 2013, | |
| volume | = | 119 , | |
| pages | = | "81–100", | |
| note | = | "{-}", | |
| doi | = | "http://dx.doi.org/10.1016/j.jmva.2013.03.020", | |
| } | |||
