Nonparametric estimation of the dependence function in bivariate extreme value distributions

DOI10.1006/jmva.2000.1931zbMath0998.62050MaRDI QIDQ5933442

Enrique Villa-Diharce, Javier Rojo Jiménez, Miguel Flores

Publication date: 16 May 2001

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2000.1931

Mathematics Subject Classification ID

60G15: Gaussian processes

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62G30: Order statistics; empirical distribution functions

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

60F15: Strong limit theorems

Related Items

Nonparametric estimation of multivariate extreme-value copulas, Nonparametric estimation of an extreme-value copula in arbitrary dimensions, A goodness-of-fit test for bivariate extreme-value copulas, New estimators of the Pickands dependence function and a test for extreme-value dependence, Estimation of Pickands dependence function of bivariate extremes under mixing conditions, Rank-based inference for bivariate extreme-value copulas, Bivariate extreme-value copulas with discrete Pickands dependence measure, A comparison of dependence function estimators in multivariate extremes, On Pickands coordinates in arbitrary dimensions, On the distribution of Pickands coordinates in bivariate EV and GP models, On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions, Non-parametric estimators of multivariate extreme dependence functions

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