Estimating a Multidimensional Extreme-Value Distribution

John Einmahl, L. Dehaan and Xiaoqi Huang

Journal of Multivariate Analysis, 1993, vol. 47, issue 1, 35-47

Abstract: Let F and G be multivariate probability distribution functions, each with equal one dimensional marginals, such that there exists a sequence of constants an > 0, n [set membership, variant] , with [formula] for all continuity points (x1, ..., xd) of G. The distribution function G is characterized by the extreme-value index (determining the marginals) and the so-called angular measure (determining the dependence structure). In this paper, a non-parametric estimator of G, based on a random sample from F, is proposed. Consistency as well as asymptotic normality are proved under certain regularity conditions.

Date: 1993
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Working Paper: Estimating a multidimensional extreme-value distribution (1993)
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