Title of article :
On the distribution of Pickands coordinates in bivariate EV and GP models
Author/Authors :
Falk، نويسنده , , Michael J Reiss، نويسنده , , Rolf-Dieter، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2005
Pages :
29
From page :
267
To page :
295
Abstract :
Let (U,V) be a random vector with U⩽0, V⩽0. The random variables Z=V/(U+V), C=U+V are the Pickands coordinates of (U,V). They are a useful tool for the investigation of the tail behavior in bivariate peaks-over-threshold models in extreme value theory. pute the distribution of (Z,C) among others under the assumption that the distribution function H of (U,V) is in a smooth neighborhood of a generalized Pareto distribution (GP) with uniform marginals. It turns out that if H is a GP, then Z and C are independent, conditional on C>c⩾−1. results are used to derive approximations of the empirical point process of the exceedances (Zi,Ci) with Ci>c in an iid sample of size n. Local asymptotic normality is established for the approximating point process in a parametric model, where c=c(n)↑0 as n→∞.
Keywords :
Max-stable distribution , Bivariate generalized Pareto distribution , Pickands coordinates , Pickands representation , local asymptotic normality (LAN) , H?jek–LeCam convolution theorem , Peaks–over–threshold approach (POT) , Dependence function
Journal title :
Journal of Multivariate Analysis
Serial Year :
2005
Journal title :
Journal of Multivariate Analysis
Record number :
1558136
Link To Document :
بازگشت