Bivariate extension of the Pickands–Balkema–de Haan theorem
نویسنده
چکیده
We prove a two-dimensional version of the famous Pickands–Balkema–de Haan theorem of extreme value theory. The bivariate random variables are generated using the copula language. This representation of dependence structures allows to derive asymptotic results for bivariate excess distributions. 2003 Elsevier SAS. All rights reserved. Résumé Une version en dimension 2 du célèbre théorème de Pickands–Balkema–de Haan sur la théorie des valeurs extrêmes est démontrée. Les variables aléatoires bivariées sont générées en utilisant le langage des copules. Cette représentation des structures de dépendance permet de dériver des résultats asymptotiques pour les distributions d’excès bivariées. 2003 Elsevier SAS. All rights reserved. MSC: 62E20; 62H20; 62P05
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تاریخ انتشار 2002