Ӧ�ø���ͳ�� 2008, 24(3) 247-254 DOI:      ISSN: 1001-4268 CN: 31-1256

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Moment Estimation for a Bivariate Extreme Value Distribution in Mixed Model
Yin Jian
Department of Mathematics, Tianjin University;Nankai University and Tianjin University LiuHui Applied Mathematics Center
Abstract: Extreme value theory has been wildly applied in many fields, especially the multivariate extreme value distributions. Moment estimation is a classical estimation method because of its simple calculations. The paper considers the bivariate extreme value distribution in mixed model with exponential margins. The estimator and asymptotic variance of the dependence parameter are given. We
also compare moment estimation with a maximum likelihood estimation in finite sample size. The results indicate that moment estimation is good for all practical purposes.
Keywords: Copula   bivariate extreme value distribution   mixed model   moment estimation   asymptotic variance.  
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