New estimators of the Pickands dependence function and a test for extreme-value dependence

DOI10.1214/11-AOS890MaRDI QIDQ651018zbMATHOpenAlexFDO

Authors Axel Bücher, Stanislav Volgushev, Holger Dette

Publication date 8 December 2011

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

Full work available at URL https://arxiv.org/abs/1102.0405

zbMATH Keywords

extreme-value copulaPickands dependence functionweak convergenceempirical copula processminimum distance estimationtest for extreme-value dependence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Abstract: We propose a new class of estimators for Pickands dependence function which is based on the concept of minimum distance estimation. An explicit integral representation of the function $A^{\ast }(t)$, which minimizes a weighted $L^2$-distance between the logarithm of the copula $C(y^{1-t},y^t)$ and functions of the form $A(t)log(y)$ is derived. If the unknown copula is an extreme-value copula, the function $A^{\ast }(t)$ coincides with Pickands dependence function. Moreover, even if this is not the case, the function $A^{\ast }(t)$ always satisfies the boundary conditions of a Pickands dependence function. The estimators are obtained by replacing the unknown copula by its empirical counterpart and weak convergence of the corresponding process is shown. A comparison with the commonly used estimators is performed from a theoretical point of view and by means of a simulation study. Our asymptotic and numerical results indicate that some of the new estimators outperform the estimators, which were recently proposed by Genest and Segers [Ann. Statist. 37 (2009) 2990--3022]. As a by-product of our results, we obtain a simple test for the hypothesis of an extreme-value copula, which is consistent against all positive quadrant dependent alternatives satisfying weak differentiability assumptions of first order.

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Cited in

(45)

• Bias correction in multivariate extremes
• Local robust estimation of the Pickands dependence function
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