BIVARIATE EXTREME VALUE THEORY - MODELS AND ESTIMATION
成果类型：
Article
署名作者：
TAWN, JA
刊物名称：
BIOMETRIKA
ISSN/ISSBN：
0006-3444
DOI：
10.2307/2336591
发表日期：
1988
页码：
397415
关键词：
摘要：
Bivariate extreme value distributions arise as the limiting distributions of renormalized componentwise maxima. No natural parametric family exists for the dependence between the marginal distributions, but there are considerable restrictions on the dependence structure. We consider modelling the dependence function with parametric models, for which two new models are presented. Tests for independence, and discriminating between models, are also given. The estimation procedure, and the flexibility of the new models, are illustrated with an application to sea level data.