Estimating bivariate tails

Clémentine Prieur 1, 2
1 MOISE - Modelling, Observations, Identification for Environmental Sciences
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-00793321
Contributor : Clémentine Prieur <>
Submitted on : Friday, February 22, 2013 - 9:09:23 AM
Last modification on : Wednesday, April 11, 2018 - 1:58:14 AM

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Clémentine Prieur. Estimating bivariate tails. Limit theorems for dependent data and applications, conference in honor of Magda Peligrad, Jun 2010, Paris, Sorbonne, France. ⟨hal-00793321⟩

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