Estimating Bivariate Tails
نویسندگان
چکیده
In this paper we consider the general problem of estimating the tail of a bivariate distribution. An extension of the threshold method for extreme values is developed, using a two-dimensional version of the Pickands-Balkema-de Hann Theorem. We construct a two-dimensional tail estimator and we provide its asymptotic properties. The dependence structure between the marginals is described by a copula. Simulations are implemented.
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تاریخ انتشار 2010