Non-parametric estimation of the limit dependence function

DOI10.1023/A:1009954903111MaRDI QIDQ5926463zbMATH OpenOpenAlexFDO

Authors Belkacem Abdous, Kilani Ghoudi, A. Khoudraji

Publication date 1 March 2001

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009954903111

zbMATH Keywords

copulasdependence functionGaussian processeskernel estimationmultivariate extremesregular variation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Review text

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.

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Cited in

(13)

• On Pickands coordinates in arbitrary dimensions
• On the distribution of Pickands coordinates in bivariate EV and GP models
• Nonparametric estimation of the spectral measure of an extreme value distribution.
• Bivariate distributions with given extreme value attractor
• Tail asymptotics for the sum of two heavy-tailed dependent risks
• Clustering of time series via non-parametric tail dependence estimation
• Estimating the tail-dependence coefficient: properties and pitfalls
• An efficient nonparametric estimator for models with nonlinear dependence
• Non-parametric estimators of multivariate extreme dependence functions
• Non-parametric Estimation of Tail Dependence
• Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
• scientific article; zbMATH DE number 7387619 (Why is no real title available?)
• Projection estimators of Pickands dependence functions

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