New estimators of the Pickands dependence function and a test for extreme-value dependence

DOI10.1214/11-AOS890zbMath1306.62087arXiv1102.0405OpenAlexW3099482564MaRDI QIDQ651018

Stanislav Volgushev, Axel Bücher, Dette, Holger

Publication date: 8 December 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.0405

zbMATH Keywords

weak convergenceminimum distance estimationPickands dependence functionempirical copula processextreme-value copulatest for extreme-value dependence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

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Uses Software

• Kernlab
• fdrtool

Cites Work

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