Weighted estimation of the dependence function for an extreme-value distribution
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Abstract: Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands dependence function. Some estimators for the Pickands dependence function have been studied by assuming that the marginals are known. Recently, Genest and Segers [Ann. Statist. 37 (2009) 2990-3022] derived the asymptotic distributions of those proposed estimators with marginal distributions replaced by the empirical distributions. In this article, we propose a class of weighted estimators including those of Genest and Segers (2009) as special cases. We propose a jackknife empirical likelihood method for constructing confidence intervals for the Pickands dependence function, which avoids estimating the complicated asymptotic variance. A simulation study demonstrates the effectiveness of our proposed jackknife empirical likelihood method.
Recommendations
- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- New estimators of the Pickands dependence function and a test for extreme-value dependence
- Nonparametric estimation of the dependence function for a multivariate extreme value distribution
- Rank-based inference for bivariate extreme-value copulas
- On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
Cites work
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- A nonparametric estimation procedure for bivariate extreme value copulas
- A note on bootstrap approximations for the empirical copula process
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- Distribution and dependence-function estimation for bivariate extreme-value distributions.
- Empirical likelihood
- Empirical likelihood and general estimating equations
- Empirical likelihood based confidence intervals for copulas
- Empirical likelihood ratio confidence intervals for a single functional
- Empirical likelihood ratio confidence regions
- Jackknife Empirical Likelihood
- New estimators of the Pickands dependence function and a test for extreme-value dependence
- Nonparametric rank-based tests of bivariate extreme-value dependence
- On Pickands coordinates in arbitrary dimensions
- On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
- Rank-based inference for bivariate extreme-value copulas
- Smoothed jackknife empirical likelihood method for ROC curve
- Weak convergence of empirical copula processes
Cited in
(6)- Monitoring largest extreme observations using Frechet distribution based on weighted variance method
- Reweighted madogram-type estimator of Pickands dependence function
- Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Estimation of Extreme Quantiles for Functions of Dependent Random Variables
- Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas
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