A Euclidean Likelihood Estimator for Bivariate Tail Dependence

作者：De Carvalho Miguel^*; Oumow Boris; Segers Johan; Warchol Michal

来源：Communications in Statistics - Theory and Methods, 2013, 42(7): 1176-1192.

DOI：10.1080/03610926.2012.709905

• Bivariate extremes
• Empirical likelihood
• Euclidean likelihood
• Spectral measure
• Statistics of extremes
• Primary 62G05
• 62G03
• 62G32
• Secondary 60G70
• 60F05
• 60F17

The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition. We propose a Euclidean likelihood-based estimator for the spectral measure which is simple and explicitly defined, with its expression being free of Lagrange multipliers. Our estimator is shown to have the same limit distribution as the maximum empirical likelihood estimator of Einmahl and Segers (2009). Numerical experiments suggest an overall good performance and identical behavior to the maximum empirical likelihood estimator. We illustrate the method in an extreme temperature data analysis.

• 出版日期2013-4-1