Estimating the limit distribution of multivariate extremes
- 1 January 1993
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics. Stochastic Models
- Vol. 9 (2) , 275-309
- https://doi.org/10.1080/15326349308807267
Abstract
Consider a random sample from a multivariate distribution F(x) which is in the domain of attraction of a multivariate extreme value distribution G(x). Based on we construct an empirical measure which is a consistent estimator for — log G. In an appendix, we explore a second order strengthening of the standard multivariate domain of attraction condition and under this second order condition, we prove our estimator is asymptotically normal in a suitably strong senseKeywords
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