A new estimator for the Pickands dependence function
The Pickands dependence function characterizes an extreme value copula, a useful tool in the modeling of multivariate extremes. A new estimator is presented along with its convergence properties and performance through simulation.
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| Format: | article |
| Language: | eng |
| Published: |
2017
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| Subjects: | |
| Online Access: | http://hdl.handle.net/1822/46970 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/46970 |
| Summary: | The Pickands dependence function characterizes an extreme value copula, a useful tool in the modeling of multivariate extremes. A new estimator is presented along with its convergence properties and performance through simulation. |
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