A Nonparametric Estimation Procedure for Bivariate Extreme Value Copulas
β Scribed by P. Caperaa, A.-L. Fougeres and C. Genest
- Book ID
- 124300003
- Publisher
- Oxford University Press
- Year
- 1997
- Tongue
- English
- Weight
- 869 KB
- Volume
- 84
- Category
- Article
- ISSN
- 0006-3444
- DOI
- 10.2307/2337579
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π SIMILAR VOLUMES
The class of bivariate extreme value copulas, which satisΓΏes the monotone regression positive dependence property or equivalently the stochastic increasing property, is considered. A variational calculus proof of the Hutchinson-Lai conjecture about Kendall's tau and Spearman's rho for this class is
The paper considers the problem of estimating the dependence function of a bivariate extreme survival function with standard exponential marginals. Nonparametric estimators for the dependence function are proposed and their strong uniform convergence under suitable conditions is demonstrated. Compar