کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146104 1489681 2013 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating a bivariate tail: A copula based approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Estimating a bivariate tail: A copula based approach
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 119, August 2013, Pages 81–100
نویسندگان
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