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.
| Autor principal: | |
|---|---|
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2017
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/1822/46970 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/46970 |