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Let X={X(s)}s∈S be an almost sure continuous stochastic process (S compact subset of Rd) in the domain of attraction of some max-stable process, with index function constant over S. We study the tail distribution of ∫SX(s)ds, which turns out to be of Generalized Pareto type with an extra...
Persistent link: https://www.econbiz.de/10011041944
We consider limit distributions of extremes of a process {Yn} satisfying the stochastic difference equation Yn-AnYn-1+Bn, n[greater-or-equal, slanted]1,Y0[greater-or-equal, slanted]0, where {An, Bn} are i.i.d. 2+-valued random pairs, A special case of interest is when {Yn} is derived from a...
Persistent link: https://www.econbiz.de/10008875046
Let (X1, Y1), (X2, Y2),..., (Xn, Yn) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The...
Persistent link: https://www.econbiz.de/10008875528
Recently, a weighted approximation for the tail empirical distribution function has been developed (Approximations to the tail empirical distribution function with application to testing extreme value conditions. preprint, submitted for publication). We show that the same result can also be used...
Persistent link: https://www.econbiz.de/10005259063
Parametric models for tail copulas are being used for modeling tail dependence and maximum likelihood estimation is employed to estimate unknown parameters. However, two important questions seem unanswered in the literature: (1) What is the asymptotic distribution of the MLE and (2) how does one...
Persistent link: https://www.econbiz.de/10005160425
Persistent link: https://www.econbiz.de/10005192462
A useful method to derive limit results for partial maxima and record values of independent, identically distributed random variables is to start from one specific probability distribution and to extend the result for this distribution to a class of distributions.This method involves an extended...
Persistent link: https://www.econbiz.de/10008873608
Internet auctions attract numerous agents, but only a few become active bidders. Under the Independent Private Values Paradigm the valuations of the active bidders form a specific record sequence. This record sequence implies that if the number n of potential bidders is large, the number of...
Persistent link: https://www.econbiz.de/10010678866
Let X1,X2,... be i.i.d. random variables and let their distribution be in the domain of attraction of an extreme value distribution. Quite a few estimators of the extreme value index are known to be consistent under the domain of attraction conditions. When it comes to asymptotic normality a...
Persistent link: https://www.econbiz.de/10005319710
Internet auctions attract numerous agents, but only a few become active bidders. A major difficulty in the structural analysis of internet auctions is that the number of potential bidders is unknown. Under the independent private value paradigm (IPVP)the valuations of the active bidders form a...
Persistent link: https://www.econbiz.de/10005136995