Bivariate Extreme Statistics , Ii
نویسندگان
چکیده
• We review the current state of statistical modeling of asymptotically independent data. Our discussion includes necessary and sufficient conditions for asymptotic independence, results on the asymptotic independence of statistics of interest, estimation and inference issues, joint tail modeling, and conditional approaches. For each of these topics we give an account of existing approaches and relevant methods for data analysis and applications.
منابع مشابه
On Concomitants of Order Statistics from Farlie-Gumbel-Morgenstern Bivariate Lomax Distribution and its Application in Estimation
‎In this paper‎, ‎we have dealt with the distribution theory of concomitants of order statistics arising from Farlie-Gumbel-Morgenstern bivariate Lomax distribution‎. ‎We have discussed the estimation of the parameters associated with the distribution of the variable Y of primary interest‎, ‎based on the ranked set sample defined by ordering the marginal observations...
متن کاملMaximum Likelihood Estimate of Marshall-olkin Copula Parameter: Complete and Censored Sample
The aim of this paper is the derivation of the maximum likelihood estimators of the Marshal-Olkin copula. This copula comes from the Marshall-Olkin Bivariate Exponential (MOBE) distribution, that has been proposed in reliability analysis to study complex systems in which the components are not independent and it is also used in the extreme value theory. We find the likelihood estimators conside...
متن کاملNonparametric rank-based tests of bivariate extreme-value dependence
A new class of tests of extreme-value dependence for bivariate copulas is proposed. It is based on the process comparing the empirical copula with a natural nonparametric rankbased estimator of the unknown copula under extreme-value dependence. A multiplier technique is used to compute approximate p-values for several candidate test statistics. Extensive Monte Carlo experiments were carried out...
متن کاملReverse Exchangeability and Extreme Order Statistics
For a bivariate random vector (X, Y ), symmetry conditions are presented that yield stochastic orderings among |X|, |Y |, |max(X, Y )|, and |min(X, Y )|. Partial extensions of these results for multivariate random vectors (X1, ..., Xn) are also given.
متن کاملA flexible and tractable class of one-factor copulas
Copulas are a useful tool to model multivariate distributions. While there exist various families of bivariate copulas, the construction of flexible and yet tractable copulas suitable for high-dimensional applications is much more challenging. This is even more true if one is concerned with the analysis of extreme values. In this paper, we construct a class of one-factor copulas and a family of...
متن کامل