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Hokkaido University Collection of Scholarly and Academic Papers >
Graduate School of Public Policy / Faculty of Public Policy >
年報 公共政策学 = Annals, public policy studies >
第13号 >
Estimators of Bivariate Extreme Value Copulas
| Title: | Estimators of Bivariate Extreme Value Copulas |
| Authors: | Suzukawa, Akio Browse this author →KAKEN DB |
| Keywords: | bivariate exponential distribution | | extreme value distribution | | Pickands dependence | | function |
| Issue Date: | 2019 |
| Publisher: | 北海道大学公共政策大学院 |
| Journal Title: | 年報 公共政策学 |
| Journal Title(alt): | Annals, Public Policy Studies |
| Volume: | 13 |
| Start Page: | 117 |
| End Page: | 144 |
| 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 Caperaa-Fougeres-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/2115/74429 |
| Appears in Collections: | 年報 公共政策学 = Annals, public policy studies > 第13号
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