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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