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Bivariate extreme value distributions based on polynomial dependence functions

✍ Scribed by Claudia Klüppelberg; Angelika May

Publisher: John Wiley and Sons
Year: 2006
Tongue: English
Weight: 148 KB
Volume: 29
Category: Article
ISSN: 0170-4214
DOI: 10.1002/mma.525

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✦ Synopsis

In this paper, we are concerned with bivariate di erentiable models for joint extremes for dependent data sets. This question is often raised in hydrology and economics when the risk driven by two (or more) factors has to be quantiÿed. Here we give a full characterization of polynomial models by means of their dependence function and dependence measure.

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The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated. Compar