CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2008, 24(3) 247-254 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Copula
bivariate extreme value distribution
mixed model
moment estimation
asymptotic variance.
Authors
Yin Jian
PubMed
Article by

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.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Yin Jian
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