Title of article :
Efficient estimators and LAN in canonical bivariate POT models
Author/Authors :
Falk، نويسنده , , Michael J Reiss، نويسنده , , Rolf-Dieter، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2003
Abstract :
Bivariate generalized Pareto distributions (GPs) with uniform margins are introduced and elementary properties such as peaks-over-threshold (POT) stability are discussed. A unified parameterization with parameter ϑ∈[0,1] of the GPs is provided by their canonical parameterization. We derive efficient estimators of ϑ and of the dependence function of the GP in various models and establish local asymptotic normality (LAN) of the loglikelihood function of a 2×2 table sorting of the observations. From this result we can deduce that the estimator of ϑ suggested by Falk and Reiss (2001, Statist. Probab. Lett. 52, 233–242) is not efficient, whereas a modification actually is.
Keywords :
Peaks-over-threshold stability , LAN , BLUE , Regular estimators , Bivariate max-stable distribution , Dependence function , Canonical parameterization , Bivariate generalized Pareto distribution , Hajek–LeCam convolution theorem
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis