Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines

DOI10.1007/s10687-022-00451-9OpenAlexW4308748509MaRDI QIDQ2688192

Richard A. Lockhart, Christian Genest, Axel Bücher, Johanna G. Nešlehová

Publication date: 2 March 2023

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-022-00451-9

zbMATH Keywords

spectral distributionB-splineminimum distance estimatorPickands dependence functionextreme-value copularank-based inference

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (1)

Copula modeling from Abe Sklar to the present day

Uses Software

• COBS

Cites Work

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