The Pickands Approach in the Bivariate Case

Michael Falk (), Jürg Hüsler () and Rolf-Dieter Reiss ()
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Michael Falk: University of Würzburg, Institute of Mathematics
Jürg Hüsler: University of Berne, Department of Mathematical Statistics and Actuarial Science
Rolf-Dieter Reiss: University of Siegen, Department of Mathematics

Chapter Chapter 6 in Laws of Small Numbers: Extremes and Rare Events, 2011, pp 259-309 from Springer

Abstract: Abstract The restriction to bivariate rv enables the study of their distributions in much greater detail. We introduce, for example, a certain measure generating function M, see Section 6.1, and prove that the pertaining Pickands dependence function Dis absolutely continuous, see Lemma 6.2.1 and the subsequent discussion. This property is unknown in higher dimensions.

Keywords: Dependence Function; Tail Dependence; Spectral Expansion; Bivariate Case; Quantile Plot (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-0009-9_6

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DOI: 10.1007/978-3-0348-0009-9_6

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