Rank-based inference for bivariate extreme-value copulas
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Abstract: Consider a continuous random pair whose dependence is characterized by an extreme-value copula with Pickands dependence function . When the marginal distributions of and are known, several consistent estimators of 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 and 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.
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