Estimating a bivariate tail: A copula based approach

Elena Di Bernardino, Véronique Maume-Deschamps and Clémentine Prieur

Journal of Multivariate Analysis, 2013, vol. 119, issue C, 81-100

Abstract: This paper deals with the problem of estimating the tail of a bivariate distribution function. To this end we develop a general extension of the POT (peaks-over-threshold) method, mainly based on a two-dimensional version of the Pickands–Balkema–de Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence, and we provide a way to estimate it. We construct a two-dimensional tail estimator and study its asymptotic properties. We also present real data examples which illustrate our theoretical results.

Keywords: Extreme value theory; Peaks-over-threshold method; Pickands–Balkema–de Haan Theorem; Tail dependence (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:119:y:2013:i:c:p:81-100

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DOI: 10.1016/j.jmva.2013.03.020

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