Weighted Approximations of Tail Copula Processes with Application to Testing the Bivariate Extreme Value Condition
Consider n i.i.d. random vectors on ${\Bbb R}^{2}$ , with unknown, common distribution function F. Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process. Then we construct a test to check whether the extreme value conditio...
| Veröffentlicht in: | The Annals of Statistics. - Institute of Mathematical Statistics. - 34(2006), 4, Seite 1987-2014 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2006
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| Zugriff auf das übergeordnete Werk: | The Annals of Statistics |
| Schlagworte: | Dependence structure Goodness-of-fit test Bivariate extreme value theory Tail copula process Weighted approximation Mathematics Philosophy |
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