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

Michael Falk and Rolf-Dieter Reiss

Statistics & Probability Letters, 2001, vol. 52, issue 3, 233-242

Abstract: 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.

Keywords: Generalized; Pareto; distributions; Dependence; parameters; Asymptotic; normality; Best; linear; unbiased; estimator; (BLUE) (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (3)

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