On second order conditions in the multivariate block maxima and peak over threshold method

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dc.contributor.authorBücher, Axel
dc.contributor.authorVolgushev, Stanislav
dc.contributor.authorZou, Nan
dc.date.accessioned2018-09-05T09:43:56Z
dc.date.available2018-09-05T09:43:56Z
dc.date.issued2018
dc.description.abstractSecond 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.en
dc.identifier.urihttp://hdl.handle.net/2003/37120
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-19116
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;19/2018en
dc.subjectdomain of attractionen
dc.subjectextremal dependenceen
dc.subjectmadogramen
dc.subjectextreme value statisticsen
dc.subjectPickands dependence functionen
dc.subjectarchimax copulasen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleOn second order conditions in the multivariate block maxima and peak over threshold methoden
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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