Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146104 | Journal of Multivariate Analysis | 2013 | 20 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Elena Di Bernardino, Véronique Maume-Deschamps, Clémentine Prieur,