A characterization of the rate of convergence in bivariate extreme value models

Michael Falk and Rolf Dieter Reiss

Statistics & Probability Letters, 2002, vol. 59, issue 4, 341-351

Abstract: It is well known that the rate of convergence of the extremes in an iid sample of univariate random variables is determined by the distance of the underlying distribution from a generalized Pareto distribution. We extend this result to higher dimensions.

Keywords: Bivariate; max-stable; distribution; Pickands; representation; Spectral; decomposition; Generalized; Pareto; distribution; [delta]-neighborhood; von; Mises; condition (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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