On the effect of long-range dependence on extreme value copula estimation with fixed marginals

DOI10.1080/03610926.2014.948198zbMath1349.62393OpenAlexW2304516406MaRDI QIDQ2830777

Jan Beran

Publication date: 31 October 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.948198

zbMATH Keywords

asymptotic distributionestimationlong memoryfunctional limit theoremlong-range dependencePickands dependence functionextreme value copula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

Related Items (1)

On nonparametric density estimation for multivariate linear long-memory processes

Uses Software

• longmemo

Cites Work

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