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A regional peaks-over-threshold model in a nonstationary climate

✍ Scribed by Roth, M.; Buishand, T. A.; Jongbloed, G.; Klein Tank, A. M. G.; van Zanten, J. H.

Book ID
119683599
Publisher
American Geophysical Union
Year
2012
Tongue
English
Weight
642 KB
Volume
48
Category
Article
ISSN
0043-1397

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Estimation of canonical dependence param
Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models
✍ Michael Falk; Rolf-Dieter Reiss πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 109 KB

This paper deals with the estimation of dependence parameters in certain bivariate generalized Pareto models which are models for exceedances (peaks) over high thresholds. A uniΓΏed approach is obtained by using canonical parameters. An estimator, which is related to a best linear unbiased estimator,