Estimating Bivariate Tail - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Estimating Bivariate Tail

Résumé

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 Hann Theorem. We construct a two-dimensional tail estimator and study its asymptotic properties. We also present a simulation study which illustrates our theoretical results.
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Dates et versions

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

Identifiants

  • HAL Id : hal-00475386 , version 1

Citer

Elena Di Bernardino, Véronique Maume-Deschamps, Clémentine Prieur. Estimating Bivariate Tail. 2010. ⟨hal-00475386v1⟩
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