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

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

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Year of publication:	2001
Authors:	Falk, Michael ; Reiss, Rolf-Dieter
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 52.2001, 3, p. 233-242
Publisher:	Elsevier
Keywords:	Generalized Pareto distributions Dependence parameters Asymptotic normality Best linear unbiased estimator (BLUE)

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005314002