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Communication Dans Un Congrès Année : 2010

Estimating bivariate tails

Résumé

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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Dates et versions

hal-00793321 , version 1 (22-02-2013)

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  • HAL Id : hal-00793321 , version 1

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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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