Efficient Estimation of the Canonical Dependence Function |
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Authors: | Michael Falk Rolf Reiss |
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Affiliation: | (1) Institut für Angewandte Mathematik und Statistik, Universität Würzburg, D-97074 Würzburg, Germany;(2) Fachbereich Mathematik, Universität GH Siegen, D-57068 Siegen, Germany |
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Abstract: | The canonical dependence function (z), z [0,1], is introduced and studied in detail for distributions, which belong to the -neighborhood of a bivariate generalized Pareto distribution. We establish local asymptotic normality (LAN) of the loglikelihood function of a 2×2 table sorting of n i.i.d. observations and derive efficient estimators of (z) from the Hájek-LeCam Convolution Theorem. These results extend results by Falk and Reiss (2003) for the canonical dependence parameter (1/2) to arbitrary z (0,1). |
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Keywords: | bivariate extreme value distribution bivariate generalized Pareto distribution /content/p01p721381227477/xxlarge948.gif" alt=" delta" align=" BASELINE" BORDER=" 0" >-neighborhood Pickands representation dependence function Pickands co-ordinates canonical dependence function local asymptotic normality (LAN) |
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