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Journal Articles Journal of Multivariate Analysis Year : 2013

Estimating Bivariate Tail: a copula based approach

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.
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Dates and versions

hal-00475386 , version 1 (22-04-2010)
hal-00475386 , version 2 (11-10-2010)
hal-00475386 , version 3 (25-05-2011)

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Elena Di Bernardino, Véronique Maume-Deschamps, Clémentine Prieur. Estimating Bivariate Tail: a copula based approach. Journal of Multivariate Analysis, 2013, 119, pp.81-100. ⟨10.1016/j.jmva.2013.03.020⟩. ⟨hal-00475386v3⟩
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