On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions

We establish the functional central limit theorem and law of the iterated logarithm for the Pickands estimator of the dependence function of a bivariate extreme-value distribution. Our methods are based on general results for sums of random variables taking values in Banach spaces.

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Bibliographic Details
Published in:Statistics & probability letters 1991-11, Vol.12 (5), p.429-439
Main Author: Deheuvels, Paul
Format: Article
Language:English
Subjects:
bivariate distributions
Exact sciences and technology
Extreme values
Extreme values bivariate distributions non-parametric statistics functional laws of the iterated logarithm
functional laws of the iterated logarithm
Mathematics
non-parametric statistics
Nonparametric inference
Probability and statistics
Sciences and techniques of general use
Statistics
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Description
Summary:We establish the functional central limit theorem and law of the iterated logarithm for the Pickands estimator of the dependence function of a bivariate extreme-value distribution. Our methods are based on general results for sums of random variables taking values in Banach spaces.
ISSN:0167-7152
1879-2103
DOI:10.1016/0167-7152(91)90032-M