Empirical tail copulas for functional data

DOI10.1214/21-AOS2050zbMATH Open1486.62140arXiv2001.11408OpenAlexW3127464785MaRDI QIDQ2054523FDOQ2054523

Authors: John H. J. Einmahl, Johan Segers 

Publication date: 3 December 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of these functions are rank-based estimators whose inflated estimation errors are known to converge weakly to a Gaussian process that is similar in structure to the weak limit of the empirical copula process. We extend this multivariate result to continuous functional data by establishing the asymptotic normality of the estimators of the tail copula, uniformly over all finite subsets of at most $D$ points ($D$ fixed). An application for testing tail copula stationarity is presented. The main tool for deriving the result is the uniform asymptotic normality of all the $D$-variate tail empirical processes. The proof of the main result is non-standard.

Full work available at URL: https://arxiv.org/abs/2001.11408

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zbMATH Keywords

functional datatail dependencetail empirical processextreme value statisticsuniform asymptotic normalitytail copula estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30) Functional data analysis (62R10) Functional limit theorems; invariance principles (60F17)

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Cited In (2)

• An estimator of the stable tail dependence function based on the empirical beta copula
• Extreme value inference for heterogeneous power law data

Uses Software

• R
• mnormt
• SpatialExtremes

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