Rank-based inference for bivariate extreme-value copulas

DOI10.1214/08-AOS672zbMATH Open1173.62013arXiv0707.4098OpenAlexW3100721948MaRDI QIDQ834370FDOQ834370

Authors: Christian Genest, Johan Segers 

Publication date: 19 August 2009

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

Abstract: Consider a continuous random pair $(X,Y)$ whose dependence is characterized by an extreme-value copula with Pickands dependence function $A$. When the marginal distributions of $X$ and $Y$ are known, several consistent estimators of $A$ are available. Most of them are variants of the estimators due to Pickands [Bull. Inst. Internat. Statist. 49 (1981) 859--878] and Cap'{e}ra`{a}, Foug`{e}res and Genest [Biometrika 84 (1997) 567--577]. In this paper, rank-based versions of these estimators are proposed for the more common case where the margins of $X$ and $Y$ are unknown. Results on the limit behavior of a class of weighted bivariate empirical processes are used to show the consistency and asymptotic normality of these rank-based estimators. Their finite- and large-sample performance is then compared to that of their known-margin analogues, as well as with endpoint-corrected versions thereof. Explicit formulas and consistent estimates for their asymptotic variances are also given.

Full work available at URL: https://arxiv.org/abs/0707.4098

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zbMATH Keywords

copulanonparametric estimationPickands dependence functionasymptotic theoryrank-based inferenceextreme-value distribution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32)

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