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A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas
| Title: | A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas |
| Authors: | Suzukawa, Akio1 Browse this author |
| Authors(alt): | 鈴川, 晶夫1 |
| Keywords: | Bivariate exponential distribution | | Extreme value distribution | | Pickands dependence function |
| Issue Date: | Nov-2010 |
| Publisher: | Graduate School of Economics & Business Administration, Hokkaido University |
| Journal Title: | Discussion Paper, Series A |
| Volume: | 230 |
| Start Page: | 1 |
| End Page: | 19 |
| Abstract: | Extreme value copulas are the limiting copulas of component-wise maxima. A bivariate extreme value copulas can be represented by a convex function called Pickands dependence function. In this paper we consider nonparametric estimation of the Pickands dependence function. Several estimators have been proposed. They can be classified into two types: Pickands-type estimators and Capéraà-Fougères-Genest-type estimators. We propose a new class of estimators, which contains these two types of estimators. Asymptotic properties of the estimators are investigated, and asymptotic efficiencies of them are discussed under Marshall-Olkin copulas. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/44280 |
| Appears in Collections: | Discussion paper > Series A
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