Weighted estimation of the dependence function for an extreme-value distribution

DOI10.3150/11-BEJ409zbMath1456.62055arXiv1303.4911MaRDI QIDQ1952432

Liang Peng, Lin-Yi Qian, Jing-Ping Yang

Publication date: 30 May 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.4911

zbMATH Keywords

dependence functionjackknife empirical likelihood methodbivariate extreme

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items (4)

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 ⋮ Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas

Uses Software

• emplik

Cites Work

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