کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1146953 | 957540 | 2011 | 13 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Local asymptotic normality in a stationary model for spatial extremes Local asymptotic normality in a stationary model for spatial extremes](/preview/png/1146953.png)
De Haan and Pereira (2006) [6] provided models for spatial extremes in the case of stationarity, which depend on just one parameter β>0β>0 measuring tail dependence, and they proposed different estimators for this parameter. We supplement this framework by establishing local asymptotic normality (LAN) of a corresponding point process of exceedances above a high multivariate threshold. Standard arguments from LAN theory then provide the asymptotic minimum variance within the class of regular estimators of ββ. It turns out that the relative frequency of exceedances is a regular estimator sequence with asymptotic minimum variance, if the underlying observations follow a multivariate extreme value distribution or a multivariate generalized Pareto distribution.
Journal: Journal of Multivariate Analysis - Volume 102, Issue 1, January 2011, Pages 48–60