On the effect of long-range dependence on extreme value copula estimation with fixed marginals
| Type of Publication: | Journal article |
| Publication status: | Published |
| Author: | Beran, Jan |
| Year of publication: | 2016 |
| Published in: | Communications in Statistics - Theory and Methods ; 45 (2016), 19. - pp. 5590-5618. - ISSN 0361-0926. - eISSN 1532-415X |
| DOI (citable link): | https://dx.doi.org/10.1080/03610926.2014.948198 |
| Summary: |
We establish the existence of multivariate stationary processes with arbitrary marginal copula distributions and long-range dependence. The effect of long-range dependence on extreme value copula estimation is illustrated in the case of known marginals, by deriving functional limit theorems for a standard nonparametric estimator of the Pickands dependence function and related parametric projection estimators. The asymptotic properties turn out to be very different from the case of iid or short-range dependent observations. Simulated and real data examples illustrate the results.
|
| Subject (DDC): | 510 Mathematics |
| Bibliography of Konstanz: | Yes |
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BERAN, Jan, 2016. On the effect of long-range dependence on extreme value copula estimation with fixed marginals. In: Communications in Statistics - Theory and Methods. 45(19), pp. 5590-5618. ISSN 0361-0926. eISSN 1532-415X. Available under: doi: 10.1080/03610926.2014.948198
@article{Beran2016-10effec-33392, title={On the effect of long-range dependence on extreme value copula estimation with fixed marginals}, year={2016}, doi={10.1080/03610926.2014.948198}, number={19}, volume={45}, issn={0361-0926}, journal={Communications in Statistics - Theory and Methods}, pages={5590--5618}, author={Beran, Jan} }
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