Estimation of the coefficient of tail dependence in bivariate extremes

被引：55

作者：

Peng, L ^{[1
]}

机构：

[1] Erasmus Univ, Tinbergin Inst Rotterdam, NL-3062 PA Rotterdam, Netherlands

来源：

STATISTICS & PROBABILITY LETTERS | 1999年 / 43卷 / 04期

关键词：

extreme value theory; bivariate extremes; coefficient of tail dependence; regular variation;

D O I：

10.1016/S0167-7152(98)00280-6

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we shall give an alternative derivation of the coefficient of tail dependence introduced by Ledford and Tawn [1996, Biometrika 83, 169-187] and propose a consistent estimator, which is asymptotically normal. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：399 / 409

页数：11

共 11 条

[1]

DEHAAN L, 1977, Z WAHRSCHEINLICHKEIT, V40, P317

[2]

DEHAAN L, 1994, COMM STAT STOCH MODE, V10, P765

[3]

DEHAAN L, 1998, EXTREMES, V1, P7, DOI DOI 10.1023/A:1009909800311

[4]

DEHAAN L, 1997, ESTIMATION FAILURE P

[5]

DEHAAN L, 1993, STOCHASTIC MODELS, V9, P275

[6]

Huang X, 1992, TINBERGEN I RES SERI, V22

[7] Statistics for near independence in multivariate extreme values [J].

Ledford, AW ;

Tawn, JA .

BIOMETRIKA, 1996, 83 (01) :169-187

[8]

Pollard D., 2012, Convergence of Stochastic Processes

[9] BIVARIATE EXTREME STATISTICS .1. [J].

SIBUYA, M .

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1960, 11 (03) :195-210

[10]

SINHA AK, 1997, TINBERGEN I RES SERI, V165

← 1 2 →