A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas

Suzukawa, Akio

Discussion Paper, Series A, 2010, 230, 1-19

Permalink : https://hdl.handle.net/2115/44280

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アクセス権	open access
URI	https://hdl.handle.net/2115/44280
タイトル	A Class of Nonparametric Estimators for Bivariate Extreme Value Copulas
著者	著者名 Suzukawa, Akio 鈴川, 晶夫
言語	英語
キーワード	Bivariate exponential distribution
	Extreme value distribution
	Pickands dependence function
発行日	2010-11
出版者	Graduate School of Economics & Business Administration, Hokkaido University
収録物名	Discussion Paper, Series A
巻(号)	230
ページ	1-19
抄録	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.
資源タイプ	紀要論文
出版タイプ	Version of Record