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Nonparametric Estimation of the Dependence Function in Bivariate Extreme Value Distributions

✍ Scribed by Javier Rojo Jiménez; Enrique Villa-Diharce; Miguel Flores

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
288 KB
Volume
76
Category
Article
ISSN
0047-259X

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✦ Synopsis

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. Comparisons of the proposed estimators with other estimators are made in terms of bias and mean squared error. Several real data sets from various applications are used to illustrate the procedures.

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