Authors: Bücher, Axel
Volgushev, Stanislav
Zou, Nan
Title: On second order conditions in the multivariate block maxima and peak over threshold method
Language (ISO): en
Abstract: Second order conditions provide a natural framework for establishing asymptotic results about estimators for tail related quantities. Such conditions are typically tailored to the estimation principle at hand, and may be vastly different for estimators based on the block maxima (BM) method or the peak-over-threshold (POT) approach. In this paper we provide details on the relationship between typical second order conditions for BM and POT methods in the multivariate case. We show that the two conditions typically imply each other, but with a possibly different second order parameter. The latter implies that, depending on the data generating process, one of the two methods can attain faster convergence rates than the other. The class of multivariate Archimax copulas is examined in detail; we find that this class contains models for which the second order parameter is smaller for the BM method and vice versa. The theory is illustrated by a small simulation study.
Subject Headings: domain of attraction
extremal dependence
extreme value statistics
Pickands dependence function
archimax copulas
Issue Date: 2018
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_1918_SFB823_Bücher_Volgushev_Zou.pdfDNB470.59 kBAdobe PDFView/Open

This item is protected by original copyright

All resources in the repository are protected by copyright.