Non-parametric estimation of the limit dependence function (Q5926463)

In many statistical applications the study of extreme values is of great importance. In hydrology, for example, the maximum flow of a river is essential in the design of a dam. For pollution data it is usually the highest level of pollutants that need be watched. Most of these studies reduce to the estimation of the joint distribution of the extremes of several characteristics. This paper presents a new estimation procedure for the limit distribution of the maximum of a multivariate random sample. Unlike all the previous works a nonparametric estimate of the dependence function is proposed which does not require any auxiliary estimates and which is suitable for samples. The results of this work are valid for multivariate extremes, but the authors only focus on the bivariate case. The proposed procedure relies on a new and simple relationship between the copula of the underlying multivariate distribution function and the dependence function of its maximum attractor. The obtained characterization is then used to define a class of kernel-based estimates for the dependence function of the maximum attractor. The consistency and the asymptotic distribution of these estimates are obtained.