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Estimation of canonical dependence parameters in a class of bivariate peaks-over-threshold models

✍ Scribed by Michael Falk; Rolf-Dieter Reiss

Publisher: Elsevier Science
Year: 2001
Tongue: English
Weight: 109 KB
Volume: 52
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(00)00194-2

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✦ Synopsis

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 uniÿed approach is obtained by using canonical parameters. An estimator, which is related to a best linear unbiased estimator, turns out to be ine cient compared to a nonlinear one.

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