Estimating the probability of a rare event

• 成果类型: Article
• 署名作者: de Haan, L; Sinha, AK
• 署名单位: Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 1999
• 页码: 732-759
• 关键词: extreme-value distribution; Multivariate Extremes; sample fraction; statistics

摘要

Let (X-1, Y-1), (X-2, Y-2),..., (X-n, Y-n) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. A subset C of R-2 is given, which contains none of the observations. We shall give an asymptotic confidence interval for Pr((X-i, Y-i) is an element of C) under certain conditions.