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|a 10.2307/30243734
|2 doi
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|a (DE-627)JST009002995
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|a (JST)30243734
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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|a Genest, Christian
|e verfasserin
|4 aut
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|a Rank-Based Inference for Bivariate Extreme-Value Copulas
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|c 2009
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|a Text
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|a Computermedien
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|a 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 Pickands [Bull. Inst. Internat. Statist. 49 (1981) 859-878] and Capéraà, Fougères and Genest [Biometrika 84 (1997) 567-577]. In this paper, rank-based versions of these estimators are proposed for the more common case where the margins of X and Y are unknown. Results on the limit behavior of a class of weighted bivariate empirical processes are used to show the consistency and asymptotic normality of these rank-based estimators. Their finite- and large-sample performance is then compared to that of their known-margin analogues, as well as with endpoint-corrected versions thereof. Explicit formulas and consistent estimates for their asymptotic variances are also given.
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|a Copyright 2009 Institute of Mathematical Statistics
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|a Primary 62G05
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| 650 |
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|a Primary 62G32
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| 650 |
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|a secondary 62G20
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| 650 |
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|a Asymptotic theory
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| 650 |
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|a copula
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|a extreme-value distribution
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|a nonparametric estimation
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|a Pickands dependence function
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|a rank-based inference
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Statistical distributions
|x Distribution functions
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| 650 |
|
4 |
|a Business
|x Business economics
|x Commercial production
|x Production resources
|x Resource management
|x Logistics
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
|x Consistent estimators
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| 650 |
|
4 |
|a Behavioral sciences
|x Psychology
|x Cognitive psychology
|x Cognitive processes
|x Thought processes
|x Reasoning
|x Inference
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| 650 |
|
4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Copula functions
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| 650 |
|
4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical functions
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| 650 |
|
4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical models
|x Parametric models
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|
| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
|
| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Statistical distributions
|x Distribution functions
|
| 650 |
|
4 |
|a Business
|x Business economics
|x Commercial production
|x Production resources
|x Resource management
|x Logistics
|
| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Inferential statistics
|x Statistical estimation
|x Estimation methods
|x Estimators
|x Consistent estimators
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| 650 |
|
4 |
|a Behavioral sciences
|x Psychology
|x Cognitive psychology
|x Cognitive processes
|x Thought processes
|x Reasoning
|x Inference
|
| 650 |
|
4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Copula functions
|
| 650 |
|
4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical functions
|
| 650 |
|
4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
|
| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical models
|x Parametric models
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
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| 655 |
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4 |
|a research-article
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| 700 |
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|a Segers, Johan
|e verfasserin
|4 aut
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| 773 |
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8 |
|i Enthalten in
|t The New York Times Current History of the European War
|d THE NEW YORK TIMES COMPANY, 1820
|g 37(2009), 5B, Seite 2990-3022
|w (DE-627)51061647X
|w (DE-600)2231261-4
|x 27682692
|7 nnns
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|g volume:37
|g year:2009
|g number:5B
|g pages:2990-3022
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|u https://www.jstor.org/stable/30243734
|3 Volltext
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|u https://doi.org/10.2307/30243734
|3 Volltext
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|j 2009
|e 5B
|h 2990-3022
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