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Persistent link: https://www.econbiz.de/10011471063
Let F and G be multivariate probability distribution functions, each with equal one dimensional marginals, such that there exists a sequence of constants an 0, n [set membership, variant] , with [formula] for all continuity points (x1, ..., xd) of G. The distribution function G is characterized...
Persistent link: https://www.econbiz.de/10005152949
We study the asymptotic bias of the moment estimator [gamma]n for the extreme-value index [gamma] [set membership, variant] 5 under quite natural and general conditions on the underlying distribution function. Furthermore the optimal choice for the sample franction in estimating [gamma] is...
Persistent link: https://www.econbiz.de/10005160506
An asymptotic theory is developed for the estimation of high quantile curves, i.e., sets of points in higher dimensional space for which the exeedance probability is pn, with npn -- 0 (n -- [infinity]). Here n is the number of available observations. This is the situation of interest if one...
Persistent link: https://www.econbiz.de/10005199396
Convergence of the maximum of a sample to an extreme value distribution is proved for certain non-stationary sequences of independent random variables.
Persistent link: https://www.econbiz.de/10011263157
Let X={X(s)}s∈S be an almost sure continuous stochastic process (S compact subset of Rd) in the domain of attraction of some max-stable process, with index function constant over S. We study the tail distribution of ∫SX(s)ds, which turns out to be of Generalized Pareto type with an extra...
Persistent link: https://www.econbiz.de/10011041944
We consider limit distributions of extremes of a process {Yn} satisfying the stochastic difference equation Yn-AnYn-1+Bn, n[greater-or-equal, slanted]1,Y0[greater-or-equal, slanted]0, where {An, Bn} are i.i.d. 2+-valued random pairs, A special case of interest is when {Yn} is derived from a...
Persistent link: https://www.econbiz.de/10008875046
Let (X1, Y1), (X2, Y2),..., (Xn, Yn) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The...
Persistent link: https://www.econbiz.de/10008875528
Recently, a weighted approximation for the tail empirical distribution function has been developed (Approximations to the tail empirical distribution function with application to testing extreme value conditions. preprint, submitted for publication). We show that the same result can also be used...
Persistent link: https://www.econbiz.de/10005259063
Parametric models for tail copulas are being used for modeling tail dependence and maximum likelihood estimation is employed to estimate unknown parameters. However, two important questions seem unanswered in the literature: (1) What is the asymptotic distribution of the MLE and (2) how does one...
Persistent link: https://www.econbiz.de/10005160425