Analysis of Bivariate Extreme Values

Abstract

Results show that there is high agreement between the distribution of the bivariate ACER functions and the distribution of the copula models with ACER marginals for all time series. The distribution of the copula models with Gumbel marginals display great discrepancies to the distribution of the bivariate ACER functions. These disagreements are greatest for short time series, and decrease as the time series become longer.