New estimators of the Pickands dependence function and a test for extreme-value dependence (Q651018)
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scientific article; zbMATH DE number 5987681
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| English | New estimators of the Pickands dependence function and a test for extreme-value dependence |
scientific article; zbMATH DE number 5987681 |
Statements
New estimators of the Pickands dependence function and a test for extreme-value dependence (English)
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8 December 2011
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extreme-value copula
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minimum distance estimation
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Pickands dependence function
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weak convergence
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empirical copula process
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test for extreme-value dependence
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0.9212343096733092
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0.8624001741409302
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0.8558061122894287
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0.850519061088562
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0.8433763980865479
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