1Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands.
2IMSV, University of Bern, Sidlerstrasse 5, 3012 Bern, Switzerland.
Center of Mathematics and Fundamental Application (C.M.A.F.) and Department of Statistics and Operations Research (D.E.I.O.), University of Lisbon.
Several methods to generate samples from distributions in the domain of attraction of multivariate extreme value distributions are proposed and used for comparison of estimators by simulation.
Multivariate extreme value theory, dependence function
