Estimators of Bivariate Extreme Value Copulas
Suzukawa, Akio
Permalink : http://hdl.handle.net/2115/74429
KEYWORDS : bivariate exponential distribution;extreme value distribution;Pickands dependence;function
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.
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