Estimation of Pickands dependence function of bivariate extremes under mixing conditions

被引:0
作者
Boutahar, Mohamed [1 ]
Kchaou, Imen [1 ,2 ]
Reboul, Laurence [1 ]
机构
[1] Univ Aix Marseille, Inst Math Marseille, Marseille, France
[2] Univ Sfax, Sfax, Tunisia
关键词
absolutely regular sequence; bivariate extreme value distribution; copulas; independence test; nonparametric estimation; Pickands dependence function; strictly stationary process; NONPARAMETRIC-ESTIMATION; INFERENCE; VALUES; TESTS;
D O I
10.1007/s10986-020-09472-y
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
In this paper, we study some asymptotic properties of CFG estimator of the Pickands dependence function of strictly stationary absolutely regular sequences of bivariate extremes. We then propose an asymptotic test of independence of the vector margins. Finite sample properties of the estimate are investigated by simulation.
引用
收藏
页码:129 / 146
页数:18
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