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TitleEstimating multivariate extremal dependence: a new proposal
Author(s)Ferreira, Marta Susana
KeywordsExtreme value copula
Multivariate pickands dependence function
Nonparametric estimation
Issue date2016
PublisherAmerican Mathematical Society
JournalTheory of Probability and Mathematical Statistics
Abstract(s)Multivariate extreme values require the use of extreme-value copulas, as they appear in the limit of componentwise maxima. These can be characterized by the so-called Pickands dependence function. A new multivariate nonparametric estimator will be presented, along with convergence properties. Based on simulations, we will analyze its performance and compare with well-known estimators from the literature.
AccessRestricted access (Author)
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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