Rank-based inference for bivariate extreme-value copulas

DOI10.1214/08-AOS672zbMath1173.62013arXiv0707.4098OpenAlexW3100721948MaRDI QIDQ834370

Publication date: 19 August 2009

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

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

zbMATH Keywords

copula asymptotic theory nonparametric estimation Pickands dependence function rank-based inference extreme-value distribution

Mathematics Subject Classification ID

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

Related Items

On quantile based co-risk measures and their estimation, Stat trek. An interview with Christian Genest, A Non-parametric Test of Exchangeability for Extreme-Value and Left-Tail Decreasing Bivariate Copulas, Testing for Bivariate Extreme Dependence Using Kendall's Process, Bayesian Spatial Clustering of Extremal Behavior for Hydrological Variables, Some copula inference procedures adapted to the presence of ties, Inference for asymptotically independent samples of extremes, Multiple block sizes and overlapping blocks for multivariate time series extremes, Sparse representation of multivariate extremes with applications to anomaly detection, Nonparametric Identification of Copula Structures, Detecting distributional changes in samples of independent block maxima using probability weighted moments, Nonparametric estimation of an extreme-value copula in arbitrary dimensions, Reweighted madogram-type estimator of Pickands dependence function, Modeling the Extremes of Bivariate Mixture Distributions With Application to Oceanographic Data, Regional extreme value index estimation and a test of tail homogeneity, Bivariate nonparametric estimation of the Pickands dependence function using Bernstein copula with kernel regression approach, Inference for Archimax copulas, Estimating multivariate extremal dependence: a new proposal, Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines, Method of moments estimators for the extremal index of a stationary time series, Copula modeling from Abe Sklar to the present day, On the tail dependence in bivariate hydrological frequency analysis, A comparison of dependence function estimators in multivariate extremes, A goodness-of-fit test for bivariate extreme-value copulas, Weighted estimation of the dependence function for an extreme-value distribution, Asymptotics of empirical copula processes under non-restrictive smoothness assumptions, A review of copula models for economic time series, A test for Archimedeanity in bivariate copula models, Nonparametric estimation of multivariate extreme-value copulas, Modelling oil and gas supply disruption risks using extreme-value theory and copula, Testing Asymmetry in Dependence with Copula-Coskewness, Statistical models and methods for dependence in insurance data, Discussion: Statistical models and methods for dependence in insurance data, Unnamed Item, New estimators of the Pickands dependence function and a test for extreme-value dependence, Extremal behavior of diagonal and Bertino copulas, Using B-splines for nonparametric inference on bivariate extreme-value copulas, Extreme value copula estimation based on block maxima of a multivariate stationary time series, Conditional normal extreme-value copulas, Nonparametric tests for constant tail dependence with an application to energy and finance, On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation, Weak convergence of the weighted empirical beta copula process, Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns, Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials, Non-linear models for extremal dependence, On the covariance of the asymptotic empirical copula process, \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas, Nonparametric multiple contrast tests for general multivariate factorial designs, On second order conditions in the multivariate block maxima and peak over threshold method, Subsampling (weighted smooth) empirical copula processes, Weighted least-squares inference for multivariate copulas based on dependence coefficients, New measure of the bivariate asymmetry, Nonparametric rank-based tests of bivariate extreme-value dependence, Nonparametric inference for max-stable dependence, Polynomial Pickands functions, Clustering of time series via non-parametric tail dependence estimation, Principal component analysis for multivariate extremes, Flexible modeling based on copulas in nonparametric median regression, Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas, On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence, A horse race between the block maxima method and the peak-over-threshold approach, Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework, Estimation of Pickands dependence function of bivariate extremes under mixing conditions, Total positivity of copulas from a Markov kernel perspective, Modeling spatial tail dependence with Cauchy convolution processes, Nonparametric estimation of the conditional tail copula, A two-step approach to model precipitation extremes in California based on max-stable and marginal point processes, Bayesian estimation of bivariate Pickands dependence function

Cites Work