Minimum distance estimators of the Pickands dependence function and related tests of multivariate extreme-value dependence

MaRDI QIDQ5262085zbMATH OpenFDO

Authors Betina Berghaus, Axel Bücher, Holger Dette

Publication date 13 July 2015

Full work available at URL http://journal-sfds.fr/article/view/158/

zbMATH Keywords

extreme-value copulaPickands dependence functionweak convergenceempirical copula processminimum distance estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(18)

• Inference for asymptotically independent samples of extremes
• Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Estimation of Pickands dependence function of bivariate extremes under mixing conditions
• A comparison of dependence function estimators in multivariate extremes
• Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
• Estimating multivariate extremal dependence: a new proposal
• Expansions of multivariate Pickands densities and testing the tail dependence
• Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
• Nonparametric estimation of multivariate extreme-value copulas
• Strong convergence of multivariate maxima
• Using B-splines for nonparametric inference on bivariate extreme-value copulas
• Some copula inference procedures adapted to the presence of ties
• Extreme value copula estimation based on block maxima of a multivariate stationary time series
• Projection estimators of Pickands dependence functions
• Reweighted madogram-type estimator of Pickands dependence function
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Weak convergence of the weighted empirical beta copula process

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