Some comments on the estimation of a dependence index in bivariate extreme value statistics

The estimation of a dependence index introduced in bivariate extreme value methodology by Ledford and Tawn (Biometrika 83(1) (1996) 169) is discussed. It is argued that estimators with bad bias properties are to be avoided. In this spirit we also suggest a new estimator.

MoreLess

Year of publication:	2002
Authors:	Beirlant, J. ; Vandewalle, B.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 60.2002, 3, p. 265-278
Publisher:	Elsevier
Keywords:	Bivariate extreme value statistics Coefficient of tail dependence Exponential regression model

More details

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223900