Rank-Based Inference for Bivariate Extreme-Value Copulas
Consider a continuous random pair (X, Y) whose dependence is characterized by an extreme-value copula with Pickands dependence function A. When the marginal distributions of X and Y are known, several consistent estimators of A are available. Most of them are variants of the estimators due to Pickan...
| Veröffentlicht in: | The New York Times Current History of the European War. - THE NEW YORK TIMES COMPANY, 1820. - 37(2009), 5B, Seite 2990-3022 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2009
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| Zugriff auf das übergeordnete Werk: | The New York Times Current History of the European War |
| Schlagworte: | Primary 62G05 Primary 62G32 secondary 62G20 Asymptotic theory copula extreme-value distribution nonparametric estimation Pickands dependence function rank-based inference Mathematics mehr... |