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Estimating a bivariate tail: A copula based approach.
- Source :
-
Journal of Multivariate Analysis . Aug2013, Vol. 119, p81-100. 20p. - Publication Year :
- 2013
-
Abstract
- 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 0047259X
- Volume :
- 119
- Database :
- Academic Search Index
- Journal :
- Journal of Multivariate Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 89033487
- Full Text :
- https://doi.org/10.1016/j.jmva.2013.03.020