Some comments on the estimation of a dependence index in bivariate extreme value statistics

J. Beirlant and B. Vandewalle

Statistics & Probability Letters, 2002, vol. 60, issue 3, 265-278

Abstract: The estimation of a dependence index introduced in bivariate extreme value methodology by Ledford and Tawn (Biometrika 83(1) (1996) 169) is discussed. It is argued that estimators with bad bias properties are to be avoided. In this spirit we also suggest a new estimator.

Keywords: Bivariate; extreme; value; statistics; Coefficient; of; tail; dependence; Exponential; regression; model (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(02)00281-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:60:y:2002:i:3:p:265-278

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().