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Optimal Choice of Sample Fraction in Extreme-Value Estimation

✍ Scribed by A.L.M. Dekkers; L. Dehaan


Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
632 KB
Volume
47
Category
Article
ISSN
0047-259X

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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